The information in this Prospectus is not complete and may be changed. We may not sell
these securities until the registration statement filed with the Securities and Exchange Commission is effective. This Prospectus is not an offer to sell these securities and is not soliciting an offer to buy these securities in any state where the
offer or sale is not permitted.

Subject to completion, dated May 30, 2014

[DIREXION INVESTMENTS LOGO]

DIREXION SHARES ETF TRUST

PROSPECTUS

1301 Avenue of the Americas (6th Avenue), 35th Floor

New York, New York 10019

866-476-7523

Direxion Daily Russell 1000® Growth Index Bull 1.25X
Shares

Direxion Daily Russell 1000® Value Index Bull 1.25X Shares

Direxion Daily S&P 500® Bull 1.25X Shares

Direxion Daily Mid Cap Bull 1.25X Shares

Direxion Daily Small Cap Bull 1.25X Shares

Direxion Daily Total Stock Market Bull 1.25X Shares

Direxion Daily FTSE Developed Markets Bull 1.25X Shares

Direxion Daily FTSE Emerging Markets Bull 1.25X Shares

Direxion Daily 7-10 Year Treasury Bond Bull 1.25X Shares

Direxion Daily 20+ Year Treasury Bond Bull 1.25X Shares

Direxion Daily Total Bond Market Bull 1.25X Shares

[ ], 2014

The funds offered in this prospectus (each a Fund and collectively the Funds) will trade on the NYSE Arca, Inc. (the
Exchange) upon commencement of operations.

The Funds seek daily leveraged investment results and are intended to
be used as short-term trading vehicles. The Funds attempt to provide daily investment results that correlate to the performance of an underlying index.

The Funds are not intended to be used by, and are not appropriate for, investors who do not intend to actively monitor and manage their portfolios. The
Funds are very different from most mutual funds and exchange-traded funds. Investors should note that:

(1) The Funds pursue daily
leveraged investment objectives, which means that the Funds are riskier than alternatives that do not use leverage because the Funds magnify the performance of their underlying index.

(2) The Funds seek daily leveraged investment results. The pursuit of these investment objectives means that the return of a Fund for
a period longer than a full trading day will be the product of the series of daily leveraged returns for each trading day during the relevant period. As a consequence, especially in periods of market volatility, the path of the underlying index
during the longer period may be at least as important to a Funds return for the longer period as the cumulative return of the underlying index for the relevant longer

period. Further, the return for investors that invest for periods less than a full trading day or for a period different than a trading day will not be the product of the return of a Funds
stated daily leveraged investment objective and the performance of the underlying index for the full trading day. The Funds are not suitable for all investors.

Investors who do not understand the Funds or do not intend to actively manage their funds and monitor their investments should not buy the Funds. There is
no assurance that any Fund will achieve its investment objective and an investment in a Fund could lose money. No single Fund is a complete investment program.

These securities have not been approved or disapproved by the U.S. Securities and Exchange Commission (SEC) and the U.S. Commodity Futures
Trading Commission (CFTC), nor have the SEC or CFTC passed upon the adequacy of this Prospectus. Any representation to the contrary is a criminal offense.

The Direxion
Daily Russell 1000® Growth Index Bull 1.25X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is
riskier than alternatives that do not use leverage because the Funds objective is to magnify the performance of an underlying index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a
full trading day may have no resemblance to 125% of the return of its underlying index for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the
underlying index during the longer period may be at least as important to the Funds return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility.
Further, the return for investors that invest for periods less than a full trading day or for a period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for
the full trading day.

Investment Objective

The Fund
seeks daily investment results, before fees and expenses, of 125% of the performance of the Russell 1000® Growth Index. The Fund seeks daily leveraged investment
results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment
results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked
exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the
fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the Russell 1000® Growth Index (Index) and/or financial instruments
that provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short
positions; reverse repurchase agreements; exchange-traded funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term

debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index measures the performance of the large-cap growth segment of the U.S. equity universe. It is a subset of the Russell 1000® Index and includes those companies within the Russell 1000® Index with higher price-to-book ratios and higher forecasted growth values.
The Index has an average market capitalization of $[ ] billion and a median market capitalization of $[ ] billion as of June 30, 2014. The Index is reconstituted on an annual basis. Components
include companies in the technology, consumer discretionary and producer durables industries. The components of the Index and the percentages represented by certain industries in the Index may change over time. The Frank Russell Company is not a
sponsor of, or in any way affiliated with, the Fund. The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) in a particular industry or group of
industries to approximately the same extent as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the
securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged
exposure to those securities. The Fund invests in derivatives, which are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund
invests in derivatives as a substitute for investing directly in a security in order to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its stated investment objective. At
the close of the markets each trading day, Rafferty positions the Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect
whether the Funds portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen
on a given day, net assets of the Fund should fall, meaning the Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the
result of each days returns compounded over the period, which will very likely differ from 125% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily
rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset allocation and market timing
investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its investment objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and
understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is
the risk that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed.

Consumer Discretionary Sector Risk

The Fund
invests in, and/or has exposure to, the securities of companies in the consumer discretionary sector. Because companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, the
success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending.
Changes in demographics and consumer tastes also can affect the demand for, and success of, consumer discretionary products in the marketplace.

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount

expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be
considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its
counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to
achieve its investment objective.

Daily Index Correlation/Tracking Risk

There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To
achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment
objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by
the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying
Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be
subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs
movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near
the close of the trading day. Activities surrounding periodic index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives Risk

The Fund uses investment
techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to
fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the
Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the
Index and swaps on an ETF whose investment objective is to track the performance of the Index. The

performance of this underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to the extent that the Fund invests in swaps
that use an ETF as a reference or underlying asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps that utilized the Index securities as a
reference or as underlying assets. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value (NAV), the terms of the
swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other
derivatives to achieve the desired exposure consistent with the Funds daily leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment objective particularly if the Index reverses all or a portion
of its intraday move by the end of the day. Any financing, borrowing or other costs associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds investments in derivatives, as of the
date of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the
changes in market value of the securities held by the Fund and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price
for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date,
which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices)
hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap agreements
are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of
return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of
a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the
counterparty and liquidity risk of the swaps themselves.

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds
portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is
expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a
statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations
of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were
paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the
estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized
volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if
the Indexs annualized volatility is 100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One YearIndex

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

Equity Securities Risk

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to
market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

Investments in growth securities and securities that provide exposure to growth securities are subject to risks, including the risk of sharp price movement.
Growth companies often internally reinvest earnings instead of declaring dividends, which would otherwise bolster share value in adverse market conditions. As such, the Funds investment in growth securities may be susceptible to increased
volatility and may perform differently than the market as a whole.

High Portfolio Turnover Risk

Daily rebalancing of the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared
to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions
that comprise the majority of the Funds trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks
leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the
difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Funds net assets will rise by the same amount as the Funds exposure.
Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net
assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the
next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of
$101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more
money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged.
This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your

investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further, purchasing shares during a day may result in
greater than 125% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund,
including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price
that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation
with the Index thus adversely affecting Fund performance.

Market Risk

The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments,
including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of
asset allocation and market timing investment strategies. These strategies often call for frequent trading, which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Mid
Capitalization Company Risk

Investing in the securities of mid capitalization companies, and securities that provide exposure to mid
capitalization companies, involves greater risks and the possibility of greater price volatility than investing in more-established, larger capitalization companies. Mid capitalization companies often have narrower markets for their goods and/or
services and more limited managerial and financial resources than larger, more established companies. Furthermore, those companies often have limited product lines, services, markets, financial resources or are dependent on a small management group.
In addition, because these stocks are not well-known to the investing public, do not have significant institutional ownership and are followed by relatively few security analysts, there will normally be less publicly available information concerning
these securities compared to what is available for the securities of larger companies. Adverse publicity and investor perceptions, whether based on fundamental analysis, can decrease the value and liquidity of securities held by the Fund. As a
result, their performance can be more volatile and they face greater risk of business failure, which could increase the volatility of the Funds portfolio.

The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and
total return may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund.

Other Investment Companies
(including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of
advisory fees and certain other expenses. By investing in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses
indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or
negatively by virtue of its investment in other investment companies. If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance.
In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other
investment company or ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

Producer Durables Sector Risk

The producer
durables sector includes companies involved in the design, manufacture or distribution of industrial durables such as electrical equipment and components, industrial products, and housing and telecommunications equipment. These companies may be
impacted by changes in the overall economy, domestic and international politics, consolidation, excess capacity, and consumer demands, spending, tastes and preferences.

Regulatory Risk

The Fund is subject to the risk
that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely
high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The
Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result
of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial
portion or even all of the Funds net assets if it

distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a
result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed
information.

Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps,
credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of
certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

Technology Securities Risk

The Fund may invest in technology-related securities. The market prices of technology-related securities tend to exhibit a greater degree of
market risk and sharp price fluctuations than other types of securities. These securities may fall in and out of favor with investors rapidly, which may cause sudden selling and dramatically lower market prices. Technology securities also may be
affected adversely by changes in technology, consumer and business purchasing patterns, government regulation and/or obsolete products or services. In addition, a rising interest rate environment tends to negatively affect technology companies.
Technology companies having high market valuations may appear less attractive to investors, which may cause sharp decreases in their market prices. Further, those technology companies seeking to finance expansion would have increased borrowing
costs, which may negatively impact earnings.

Special Risks of Exchange-Traded Funds

Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation
Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an
exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to
meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time.

Market Price
Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and
demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces
may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created

and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV
vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a
bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares
may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based upon the daily
NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no
guarantee that an active secondary market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

Purchase and Sale of Fund Shares

The Fund will issue and
redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares.
Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV
(discount).

Tax Information

The Fund intends to
make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred
arrangement, such as a 401(k) plan or an individual

retirement account. Distributions or investments made through tax-deferred arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of
most other ETFs.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the Fund and/or the Adviser may pay the
intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the Fund over another investment. Ask your
salesperson or visit your financial intermediarys website for more information.

The Direxion Daily Russell 1000® Value Index Bull 1.25X Shares (Fund) seeks daily
leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the Funds objective is to magnify the performance of an underlying index. The pursuit
of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its underlying index for such longer period because the aggregate return of the Fund
is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to the Funds return for the longer period as the cumulative return of the
underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full trading day or for a period different than a trading day will not be the product
of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment results, before fees and expenses, of 125% of the performance of the Russell
1000® Value Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than
one day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by knowledgeable
investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged
investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not
intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the Russell 1000® Value Index (Index) and/or financial instruments
that provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short
positions; reverse repurchase agreements; exchange-traded funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term

debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index measures the performance of the large-cap value segment of the U.S. equity universe. It is a subset of the Russell 1000® Index and includes those companies within the Russell 1000® Index with lower price-to-book ratios and lower forecasted growth values. The
Index has an average market capitalization of $[ ] billion and a median market capitalization of $[ ] billion as of June 30, 2014. The Index is reconstituted on an annual basis. Components of the
Index include the financial services, energy and healthcare industries. The components of the Index and the percentages represented by certain industries in the Index may change over time. The Frank Russell Company is not a sponsor of, or in any way
affiliated with, the Fund. The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) in a particular industry or group of industries to approximately
the same extent as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in the Index that
have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those securities. The
Fund invests in derivatives, which are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund invests in derivatives as a
substitute for investing directly in a security in order to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its stated investment objective. At the close of the markets
each trading day, Rafferty positions the Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect whether the Funds
portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen on a given day, net
assets of the Fund should fall, meaning the Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the
result of each days returns compounded over the period, which will very likely differ from 125% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily
rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset allocation and market timing
investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its investment objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and
understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is
the risk that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single
counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To
achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment
objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by
the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying
Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be
subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs
movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near
the close of the trading day. Activities surrounding periodic index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives Risk

The Fund uses investment
techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to
fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the
Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the
Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to
the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps
that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value
(NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with

the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily
leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs
associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and
the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward
contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed
upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or
indices) hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap
agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in
rates of return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in
value of a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit
risk of the counterparty and liquidity risk of the swaps themselves.

Early Close/Trading Halt Risk

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index

for periods other than a single day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that
days losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the
Funds daily target (125%) generally will not equal the Funds performance over that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further
adverse daily performance will lead to a smaller dollar loss because the shareholders investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index
increases the amount of a shareholders investment, the dollar amount lost due to future adverse performance will increase correspondingly.

As a
result, over time, the cumulative percentage increase or decrease in the value of the Funds portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying
index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat
market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility
rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of
combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no
dividends were paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were
reflected, the estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced
annualized volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if the Indexs annualized volatility is
100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One YearIndex

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

Energy Securities Risk

The Fund will focus its investments in securities issued by, and/or have exposure to, energy companies that develop and produce oil, gas and consumable fuels
and provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies are affected by supply and demand, exploration and production spending, world events and economic conditions,
swift price and supply fluctuations, energy conservation, the success of exploration projects, liabilities for environmental damage and general civil liabilities and tax and other governmental regulatory policies and legislation. Weak demand for
energy companies products or services or for energy products and services in general, as well as negative developments in these other areas, including natural disasters or terrorist attacks, impact the Funds performance. In addition, the
prices of energy product

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general
are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

Financial Services Companies Risk

The Fund will
focus its investments in securities issued by, and/or have exposure to, financial services companies. As a result, the Fund is subject to risks of legislative or regulatory changes, adverse market conditions and/or increased competition affecting
the financial services companies. Profitability is largely dependent on the availability and cost of capital, and can fluctuate significantly when interest rates change. Credit losses resulting from financial difficulties of borrowers also can
negatively impact the sector.

Healthcare Sector Risk

The Fund invests in, and/or has exposure to, the securities of companies in the healthcare sector. The profitability of companies in the healthcare sector may
be affected by extensive government regulation, restrictions on government reimbursement for medical expenses, rising costs of medical products and services, pricing pressure, an increased emphasis on outpatient services, limited number of products,
industry innovation, changes in technologies and other market developments. Many healthcare companies are heavily dependent on patent protection. The expiration of patents may adversely affect the profitability of these companies. Many healthcare
companies are subject to extensive litigation based on product liability and similar claims. Healthcare companies are subject to competitive forces that may make it difficult to raise prices and, in fact, may result in price discounting. Many new
products in the healthcare sector may be subject to regulatory approvals. The process of obtaining such approvals may be long and costly.

High
Portfolio Turnover Risk

Daily rebalancing of the Funds holdings pursuant to its daily investment objective causes a much greater number of
portfolio transactions when compared to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of
significantly increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash
instruments or derivative transactions that comprise the majority of the Funds trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks
leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an

investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at
the time of purchase. If the Index gains value, the Funds net assets will rise by the same amount as the Funds exposure. Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds
exposure. Since a Fund starts each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As
an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure
of the Fund will have risen by 1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of $101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead
of 125%.

Leverage Risk

To achieve its daily
investment objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you
invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including
the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further,
purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund,
including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price
that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation
with the Index thus adversely affecting Fund performance.

Market Risk

The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments,
including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of
asset allocation and market timing

investment strategies. These strategies often call for frequent trading, which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Mid
Capitalization Company Risk

Investing in the securities of mid capitalization companies, and securities that provide exposure to mid
capitalization companies, involves greater risks and the possibility of greater price volatility than investing in more-established, larger capitalization companies. Mid capitalization companies often have narrower markets for their goods and/or
services and more limited managerial and financial resources than larger, more established companies. Furthermore, those companies often have limited product lines, services, markets, financial resources or are dependent on a small management group.
In addition, because these stocks are not well-known to the investing public, do not have significant institutional ownership and are followed by relatively few security analysts, there will normally be less publicly available information concerning
these securities compared to what is available for the securities of larger companies. Adverse publicity and investor perceptions, whether based on fundamental analysis, can decrease the value and liquidity of securities held by the Fund. As a
result, their performance can be more volatile and they face greater risk of business failure, which could increase the volatility of the Funds portfolio.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company
or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies.
If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially
may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company or ETF shares depends on the demand in the market,
the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

Regulatory Risk

The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the
Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term
capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any
net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional
unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In
addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to
negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed information.

Rules governing the
federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated
investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

Value Investing Risk

Investments in value
securities and securities that provide exposure to value securities are subject to risks, including the risk that a securitys intrinsic value may never be realized by the market, the security will not appreciate as much as anticipated or its
market price will decline.

Special Risks of Exchange-Traded Funds

Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation
Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an
exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to
meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time.

Market Price
Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and

sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares
will trade above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for
securities or instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may,
however, be times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price
of any exchange-traded security, includes a bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often
increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds
investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and
redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

Purchase and Sale of Fund Shares

The Fund will issue and
redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares.
Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at market

prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

The Fund intends to make distributions
that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred arrangement, such as a
401(k) plan or an individual retirement account. Distributions or investments made through tax-deferred arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most other ETFs.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the Fund and/or the Adviser may pay the
intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the Fund over another investment. Ask your
salesperson or visit your financial intermediarys website for more information.

The Direxion Daily S&P 500® Bull 1.25X Shares (Fund) seeks daily
leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the Funds objective is to magnify the performance of an underlying index. The pursuit
of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its underlying index for such longer period because the aggregate return of the Fund
is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to the Funds return for the longer period as the cumulative return of the
underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full trading day or for a period different than a trading day will not be the product
of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment results, before fees and expenses, of 125% of the performance of the S&P
500® Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is
different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by knowledgeable investors who understand the
potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the
Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage
their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the S&P 500® Index (Index) and/or financial instruments that
provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short
positions; reverse repurchase agreements; exchange-traded funds (ETFs); and other financial

instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit
high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index is a capitalization-weighted index composed of
500 domestic common stocks. Standard & Poors® selects the 500 stocks comprising the Index on the basis of market values and industry diversification. Most of the stocks in the
Index are issued by the 500 largest companies, in terms of the aggregate market value of their outstanding stock, and generally are listed on the NYSE. Standard &
Poors®, S&P®, S&P 500® and
Standard & Poors 500® are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use. The Fund is not sponsored, endorsed, sold or promoted by
Standard & Poors® and Standard & Poors® makes no representation regarding the advisability of investing
in the Fund. The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) in a particular industry or group of industries to approximately the same extent
as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in the Index that have aggregate
characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those securities. The volatility of
U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index. The Fund seeks to remain fully invested at all times consistent with its stated investment
objective. At the close of the markets each trading day, Rafferty positions the Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day
will affect whether the Funds portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the
Index has fallen on a given day, net assets of the Fund should fall, meaning the Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the
result of each days returns compounded over the period, which will very likely differ from 125% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily
rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset allocation and market timing
investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its investment objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and
understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is
the risk that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed.

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single
counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with

the Fund and, as a result, the Fund may not be able to achieve its investment objective.

Daily Index Correlation/Tracking Risk

There is no
guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to
keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives,
income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect
the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that
of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over-
or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of
each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding periodic index reconstitutions and other index
rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives
Risk

The Fund uses investment techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may
be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of
derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and
the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this
underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject
to greater correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of
swap agreements, if the Index has a

dramatic intraday move in value that causes a material decline in the Funds net asset value (NAV), the terms of the swap agreement between the Fund and its counterparty may
allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the
Funds daily leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing,
borrowing or other costs associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund
and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts.
Forward contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an
agreed upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the
contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the
securities (or indices) hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap
Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return
(or differentials in rates of return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the
return on or change in value of a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk,
which relates to credit risk of the counterparty and liquidity risk of the swaps themselves.

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds
portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is
expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a
statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations
of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were
paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the
estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized
volatility of 25%. If the Indexs annualized volatility were to rise to 75%,

the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher
ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if the Indexs annualized volatility is 100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return
for the year was 0%.

Table 1

One YearIndex

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to
market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

High Portfolio Turnover Risk

Daily rebalancing of
the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of
increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or
long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Funds trading. As such, if the Funds extensive use of
derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day.
The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the
Index gains value, the Funds net assets will rise by the same amount as the Funds exposure. Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts
each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified
numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by
1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of $101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment
objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in
the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost
of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount

greater than its net assets in the event of an Index decline of more than 80%. Further, purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if
the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand
the risks of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities
also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security
at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index thus adversely affecting Fund performance.

Market Risk

The Fund is subject to market risks
that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant
portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of asset allocation and market timing investment strategies. These strategies often call for frequent trading,
which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company of ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company
or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies.
If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline,

adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other
trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company or ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Funds holdings in those
shares at the most optimal time, adversely affecting the Funds performance.

Regulatory Risk

The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the
Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term
capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any
net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional
unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In
addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to
negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed information.

Rules governing the
federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated
investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

Special Risks of Exchange-Traded Funds

Not
Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make
trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing

requirements of the exchange on which it trades, and the listing requirements may be amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary
market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary
market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact
that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you
may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a bid-ask spread charged
by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and
the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based upon the daily NAV of the Fund over a period of
time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary
market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

The Fund will issue and redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets
(securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares. Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at
market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

The Fund intends to make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject
to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred arrangement, such as a 401(k) plan or an individual retirement plan. Distributions or investments made through tax-deferred
arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most other ETFs.

Payments to
Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or
financial advisor), the Fund and/or the Adviser may pay the intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily Mid Cap Bull 1.25X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the Funds
objective is to magnify the performance of an underlying index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its
underlying index for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to
the Funds return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full
trading day or for a period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the S&P MidCap® 400 Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated
investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds.

The
Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their
portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by,
and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$[ ]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the S&P MidCap® 400 Index (Index) and/or financial instruments
that provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short
positions; reverse repurchase agreements; exchange-traded funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term

debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index measures the performance of the mid-cap segment of the U.S. equity universe. The Index is a capitalization-weighted index composed of 400 domestic
common stocks. Standard & Poors® selects the 400 stocks comprising the Index on the basis of market values and industry diversification. The Index represents approximately 7% of
the U.S. equities market. Component securities have capitalizations ranging from $[ ] billion to $[ ] billion as of June 30, 2014. The Fund will
concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) in a particular industry or group of industries to approximately the same extent as the Index is so
concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in the Index that have aggregate characteristics
similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those securities. The Fund invests in derivatives,
which are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund invests in derivatives as a substitute for investing directly in a
security in order to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its stated investment objective. At the close of the markets each trading day, Rafferty positions the
Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect whether the Funds portfolio needs to be re-positioned. For
example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the
Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and
the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the result of each days returns compounded over the period, which will very likely differ from 125% of the return of the
Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over
time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using
asset allocation and market timing investment strategies, the Fund may further need to engage in frequent trading.

Principal
Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment
alternatives. The Adviser cannot guarantee that the Fund will

achieve its investment objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the
risks listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide,
including the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed.

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single
counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

Daily Index Correlation/Tracking Risk

There is no
guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its

portfolio daily to keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses,
transactions costs, financing costs related to the use of derivatives, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. Market disruptions,
regulatory restrictions or extreme volatility will also adversely affect the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of
investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be subject to large movements of
assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs movement. Because of this, it
is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day.
Activities surrounding periodic index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives Risk

The Fund uses investment
techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to
fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the
Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the
Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to
the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps
that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value
(NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap
agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment objective

particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs associated with using derivatives may also have the effect
of lowering the Funds return. In addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and
the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward
contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed
upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or
indices) hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap
agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in
rates of return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in
value of a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit
risk of the counterparty and liquidity risk of the swaps themselves.

Early Close/Trading Halt Risk

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its

portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day,
the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the
Funds performance over that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the
shareholders investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount
lost due to future adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value
of the Funds portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the
Fund. It also is expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a
statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations
of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were
paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the
estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized
volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if the Indexs annualized volatility is
100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One YearIndex

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

Equity Securities Risk

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to
market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

High Portfolio Turnover Risk

Daily rebalancing of
the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of
increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly

increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains. The Fund calculates portfolio turnover
without including the short-term cash instruments or derivative transactions that comprise the majority of the Funds trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover
rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day.
The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the
Index gains value, the Funds net assets will rise by the same amount as the Funds exposure. Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts
each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified
numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by
1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of $101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment
objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in
the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost
of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further,
purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund,
including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price
that is lower than Raffertys judgment of the

securitys true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high
correlation with the Index thus adversely affecting Fund performance.

Market Risk

The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments,
including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of
asset allocation and market timing investment strategies. These strategies often call for frequent trading, which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company
or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies.
If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially
may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company or ETF shares depends on the demand in the market,
the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

Regulatory Risk

The Fund is subject to the risk
that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Funds operations and/or change the competitive landscape.

Small and/or Mid Capitalization Company Risk

Investing in the securities of small and/or mid capitalization companies, and securities that provide exposure to small and/or

mid capitalization companies, involves greater risks and the possibility of greater price volatility than investing in more-established, larger capitalization companies. Small and mid
capitalization companies often have narrower markets for their goods and/or services and more limited managerial and financial resources than larger, more established companies. Furthermore, those companies often have limited product lines,
services, markets, financial resources or are dependent on a small management group. In addition, because these stocks are not well-known to the investing public, do not have significant institutional ownership and are followed by relatively few
security analysts, there will normally be less publicly available information concerning these securities compared to what is available for the securities of larger companies. Adverse publicity and investor perceptions, whether based on fundamental
analysis, can decrease the value and liquidity of securities held by the Fund. As a result, their performance can be more volatile and they face greater risk of business failure, which could increase the volatility of the Funds portfolio.

Tax and Distribution Risk

The Fund has extremely
high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The
Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result
of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial
portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a
result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed
information.

Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps,
credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of
certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

Special Risks of
Exchange-Traded Funds

Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV
only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading
Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as

extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing
requirements may be amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an
exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or
at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by
the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market
price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security,
includes a bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means
that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based
upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund.
There is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

The Fund will issue and redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets
(securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares. Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at
market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

The Fund intends to make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject
to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred arrangement, such as a 401(k) plan or an individual retirement plan. Distributions or investments made through tax-deferred
arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most other ETFs.

Payments to
Broker-Dealers and Other Financial Intermediaries

If you purchase shares of the Fund through a broker-dealer or other financial intermediary (such as
a bank or financial advisor), the Fund and/or the Adviser may pay the intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and
your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily Small Cap Bull 3X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the Funds
objective is to magnify the performance of an underlying index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its
underlying index for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to
the Funds return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full
trading day or for a period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the Russell 2000® Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated
investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds.

The
Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their
portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by,
and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING
EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your
investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the Russell 2000® Index (Index) and/or financial instruments that
provide leveraged and unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short
positions; reverse repurchase agreements; exchange-traded funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term

debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index measures the performance of the small-cap segment of the U.S. equity universe and is comprised of the smallest 2000 companies in the Russell 3000® Index, representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and
current index membership. The companies included in the Index have an average market capitalization of more than $[ ] billion and a median market capitalization of $[ ] million as of June 30, 2014.
The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) in a particular industry or group of industries to approximately the same extent as the Index
is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in the Index that have aggregate
characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those securities. The Fund invests
in derivatives, which are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund invests in derivatives as a substitute for
investing directly in a security in order to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its stated investment objective. At the close of the markets each trading day,
Rafferty positions the Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect whether the Funds portfolio needs to be
re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should
fall, meaning the Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of
daily rebalancing and the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the result of each days returns compounded over the period, which will very likely differ from 125%
of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund
will lose money over time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come
from investors using asset allocation and market timing investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its investment objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and
understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is
the risk that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed.

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single
counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To
achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment
objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by
the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying
Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be
subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs
movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near
the close of the trading day. Activities surrounding periodic index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives Risk

The Fund uses investment
techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to
fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the
Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the
Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to
the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps
that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value
(NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with

the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily
leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs
associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and
the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward
contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed
upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or
indices) hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap
agreements are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in
rates of return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in
value of a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit
risk of the counterparty and liquidity risk of the swaps themselves.

Early Close/Trading Halt Risk

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds
portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is
expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a
statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations
of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were
paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the
estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized
volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if the Indexs annualized volatility is
100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One Year

Index

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

Equity Securities Risk

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to
market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

High Portfolio Turnover Risk

Daily rebalancing of
the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of
increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them)

and/or long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Funds
trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks
leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the
difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Funds net assets will rise by the same amount as the Funds exposure.
Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net
assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the
next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of
$101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more
money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged.
This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment.
The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further, purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index
declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks
of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities
also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security
at a loss. Such a situation may prevent the Fund from

The Fund is subject to market risks
that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant
portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of asset allocation and market timing investment strategies. These strategies often call for frequent trading,
which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company
or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies.
If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially
may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company and ETF shares depends on the demand in the market,
the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

Regulatory Risk

The Fund is subject to the risk
that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Funds operations and/or change the competitive landscape.

Small and/or Mid Capitalization Company Risk

Investing in the securities of small and/or mid capitalization companies, and securities that provide exposure to small and/or mid capitalization companies,
involves greater risks and the

possibility of greater price volatility than investing in more-established, larger capitalization companies. Small and mid capitalization companies often have narrower markets for their goods
and/or services and more limited managerial and financial resources than larger, more established companies. Furthermore, those companies often have limited product lines, services, markets, financial resources or are dependent on a small management
group. In addition, because these stocks are not well-known to the investing public, do not have significant institutional ownership and are followed by relatively few security analysts, there will normally be less publicly available information
concerning these securities compared to what is available for the securities of larger companies. Adverse publicity and investor perceptions, whether based on fundamental analysis, can decrease the value and liquidity of securities held by the Fund.
As a result, their performance can be more volatile and they face greater risk of business failure, which could increase the volatility of the Funds portfolio.

Tax and Distribution Risk

The Fund has extremely
high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The
Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result
of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial
portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a
result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed
information.

Rules governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps,
credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of
certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

Special Risks of
Exchange-Traded Funds

Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV
only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading
Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be

no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and
the listing requirements may be amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for
trading on an exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade
above, below or at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or
instruments held by the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be
times when the market price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any
exchange-traded security, includes a bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases
significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment
results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming
directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

The Fund will issue and redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets
(securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares. Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at
market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

The Fund intends to make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income
tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred arrangement, such as a 401(k) plan or an individual retirement plan. Distributions or investments made through tax-deferred arrangements may be
taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most other ETFs.

Payments to Broker-Dealers and Other
Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the
Fund and/or the Adviser may pay the intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the
Fund over another investment. Ask your salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily Total Stock Market Bull 1.25X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the
Funds objective is to magnify the performance of an underlying index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return
of its underlying index for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as
important to the Funds return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less
than a full trading day or for a period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the Dow Jones U.S. Broad Market Index.

The Fund seeks daily leveraged investment
results and does not seek to achieve its stated investment objective over a period of time greater than one day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily leveraged investment
results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged investment results relative to the Index and is different and riskier than similarly benchmarked
exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the
fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the Dow Jones U.S. Broad Market Index (Index) and/or financial instruments that provide leveraged and unleveraged exposure to
the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short positions; reverse repurchase agreements;
exchange-traded funds (ETFs); and

other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term debt instruments that have terms-to-maturity of less than 397
days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index is a free float-adjusted market
capitalization weighted index that seeks to provide a comprehensive measure of the U.S. equity market. The Index represents the largest 2,500 publicly traded U.S. companies. As of March 31, 2014, the Index was composed of 2,529
securities. The median market capitalization of the Index was $1.7 billion as of March 31, 2014. The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of
industries) in a particular industry or group of industries to approximately the same extent as the Index is so concentrated.

The Fund may gain leveraged
exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by
investing in derivatives that leveraged provide exposure to those securities. The Fund invests in derivatives, which are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds
(including ETFs), interest rates or indexes. The Fund invests in derivatives as a substitute for investing directly in a security in order to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all
times consistent with its stated investment objective. At the close of the markets each trading day, Rafferty positions the Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact
of the Indexs movements during the day will affect whether the Funds portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will
need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the
result of each days returns compounded over the period, which will very likely differ from 125% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily
rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset allocation and market timing
investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment

alternatives. The Adviser cannot guarantee that the Fund will achieve its investment objective. In addition, the
Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and understand how these risks interrelate before making an investment in the Fund.
Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk that you could lose all or a portion of your money invested in the
Fund.

Adverse Market Conditions Risk

Because
the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers
Investment Strategy Risk

The Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed
to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund
uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of futures contracts, forward contracts, options and swap agreements include potentially dramatic price
changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index. These instruments may increase the volatility of the Fund and may involve a small investment of cash
relative to the magnitude of the risk assumed.

Counterparty Risk

The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an
asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different
from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement
counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure
to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into,
transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

Daily Index Correlation/Tracking Risk

There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment
objective. To achieve a high degree of

correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its
daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives, income items, valuation methodology,
accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Funds ability to adjust
exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund
may invest in securities or financial instruments not included in the underlying Index. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its Index. In
addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the
Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding periodic index reconstitutions and other index rebalancing or reconstitution events may
hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives Risk

The Fund uses investment techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered
aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose
the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which
may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this underlying ETF may
not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater
correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap
agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value (NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to
immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily leveraged
investment objective. This may prevent the Fund

from achieving its daily leveraged investment objective particularly if the Index reverses all or a portion of
its intraday move by the end of the day. Any financing, borrowing or other costs associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds investments in derivatives, as of the date
of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the
changes in market value of the securities held by the Fund and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price
for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date,
which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices)
hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap agreements
are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of
return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of
a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the
counterparty and liquidity risk of the swaps themselves.

Early Close/Trading Halt Risk

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days

losses. This means that for a period longer than one day, the pursuit of daily goals may result in daily leveraged compounding. It also means that the return of an index over a period of time
greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over that same period. If adverse daily performance of a Funds underlying index reduces the amount of a
shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily
performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds portfolio may diverge significantly from the cumulative
percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that the Funds use of leverage will cause the
Fund to underperform the return of three times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on
the Funds performance as the Index experiences volatility. The Indexs volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could
affect the Funds performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may
negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to
obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the estimated returns would be different than those shown. As shown below, this Fund, or any other Fund, would be expected to lose 0.8% (as
shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year
period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value even if the Index
is flat. For instance, if the Indexs annualized volatility is 100%, the Fund would be expected to lose 32.3% of its value, even if the cumulative Index return for the year was only 0%.

Table 1

One Year

Index

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

Equity Securities Risk

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to
market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

High Portfolio Turnover Risk

Daily rebalancing of
the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of
increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them)

and/or long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Funds
trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks
leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the
difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Funds net assets will rise by the same amount as the Funds exposure.
Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net
assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the
next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of
$101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more
money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged.
This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment.
The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further, purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index
declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks
of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities
also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security
at a loss. Such a situation may prevent the Fund from

The Fund is subject to market risks
that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant
portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of asset allocation and market timing investment strategies. These strategies often call for frequent trading,
which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company
or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies.
If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially
may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company or ETF shares depends on the demand in the market,
the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

Regulatory Risk

The Fund is subject to the risk
that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Funds operations and/or change the competitive landscape.

Small and/or Mid Capitalization Company Risk

Investing in the securities of small and/or mid capitalization companies, and securities that provide exposure to small and/or mid capitalization companies,
involves greater risks and the possibility of greater price volatility than investing in
more-

established, larger capitalization companies. Small and mid capitalization companies often have narrower markets for their goods and/or services and more limited managerial and financial
resources than larger, more established companies. Furthermore, those companies often have limited product lines, services, markets, financial resources or are dependent on a small management group. In addition, because these stocks are not
well-known to the investing public, do not have significant institutional ownership and are followed by relatively few security analysts, there will normally be less publicly available information concerning these securities compared to what is
available for the securities of larger companies. Adverse publicity and investor perceptions, whether based on fundamental analysis, can decrease the value and liquidity of securities held by the Fund. As a result, their performance can be more
volatile and they face greater risk of business failure, which could increase the volatility of the Funds portfolio.

Tax and Distribution
Risk

The Fund has extremely high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is
typically short-term capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally
need to distribute any net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than
traditional unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial portion or even all of the Funds net assets if it distributes this income after a decline in its net assets.
In addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead
to negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed information.

Rules governing the
federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated
investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

Special Risks of Exchange-Traded Funds

Not
Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make
trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing

requirements of the exchange on which it trades, and the listing requirements may be amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be bought and sold in the secondary
market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV. Differences between secondary
market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a particular time. Given the fact
that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the NAV vary significantly and you
may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a bid-ask spread charged
by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares may trade at a discount to NAV and
the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based upon the daily NAV of the Fund over a period of
time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There is no guarantee that an active secondary
market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

The Fund will issue and redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets
(securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares. Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at
market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

The Fund intends to make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income
tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred arrangement, such as a 401(k) plan or an individual retirement account. Distributions or investments made through tax-deferred arrangements may be
taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most other ETFs.

Payments to Broker-Dealers and Other
Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the
Fund and/or the Adviser may pay the intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the
Fund over another investment. Ask your salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily FTSE Developed Markets Bull 3X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the
Funds objective is to magnify the performance of an index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its index
for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to the Funds
return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full trading day or for a
period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the FTSE Developed ex US Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than
one day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by knowledgeable
investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged
investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not
intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the FTSE Developed ex US Index (Index) and/or financial instruments that provide leveraged and unleveraged exposure to the
Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded
funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term

debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index consists of large and mid-capitalization companies in developed countries excluding the United States, as defined by the index provider. As of
April 30, 2014, the Index included the following 24 countries: Australia, Austria, Belgium & Luxembourg, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, Korea, the Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom; companies from Japan, the United Kingdom, France, Germany and Switzerland represented the largest percentages in the Index. As of April 30, 2014, the Index was comprised of
1,430 companies with a median market capitalization of $4.3 billion. The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) in a particular industry
or group of industries to approximately the same extent as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative
sample of the securities in the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide
leveraged exposure to those securities. The Fund invests in derivatives, which are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes.
The Fund invests in derivatives as a substitute for investing directly in a security in order to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its stated investment
objective. At the close of the markets each trading day, Rafferty positions the Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day
will affect whether the Funds portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the
Index has fallen on a given day, net assets of the Fund should fall, meaning the Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the
result of each days returns compounded over the period, which will very likely differ from 125% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily
rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset allocation and market timing
investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its investment objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and
understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is
the risk that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed.

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single
counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

Changes in foreign currency exchange rates will affect the value of what the Fund owns and the Funds share price. Generally, when the U.S. Dollar
rises in value against a foreign currency, an investment in that country loses value because that currency is worth fewer U.S. Dollars. Devaluation of a currency by a countrys government or banking authority also will have a significant impact
on the value of any investments denominated in that currency. Currency markets generally are not as regulated as securities markets.

Daily Index
Correlation/Tracking Risk

There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its
daily leveraged investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty
achieving its daily leveraged investment objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets
for the securities or derivatives held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Funds ability to adjust exposure to the required levels. The Fund may not have investment
exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in
the underlying Index. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is
impacted dynamically by the Indexs movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index
increases on days when the Index is volatile near the close of the trading day. Activities surrounding periodic index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged
investment objective on that day.

Depositary Receipt Risk

To the extent the Fund seeks exposure to foreign companies, the Funds investments may be in the form of depositary receipts or other securities
convertible into securities of foreign issuers, including American Depositary Receipts (ADRs), European Depositary Receipts (EDRs), and Global Depositary Receipts (GDRs). Depositary receipts may be purchased
through sponsored or unsponsored facilities. A sponsored facility is established jointly by the issuer of the underlying security and a depositary, whereas a depositary may establish an unsponsored facility without
participation by the issuer of the depositary security. Holders of unsponsored depositary receipts generally bear all the costs of such facilities and the depositary of an unsponsored facility frequently is under no obligation to distribute
shareholder communications received from the issuer of the deposited security or to pass through voting rights to the holders of such receipts of the

deposited securities. While the use of ADRs, EDRs and GDRs, which are traded on exchanges and represent and ownership in a foreign security, provide an alternative to directly purchasing the
underlying foreign securities in their respective national markets and currencies, investments in ADRs, EDRs, and GDRs continue to be subject to certain of the risks associated with investing directly in foreign securities.

Derivatives Risk

The Fund uses investment
techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to
fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the
Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the
Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to
the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps
that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value
(NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap
agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment objective particularly if the
Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds
investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures Contracts. There may
be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price
for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date,
which may be any fixed number of days from the date of the contract

agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices)
hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap agreements
are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of
return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of
a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the
counterparty and liquidity risk of the swaps themselves.

Early Close/Trading Halt Risk

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds
portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is
expected that the Funds use of

leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a
statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations
of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were
paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the
estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized
volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if the Indexs annualized volatility is
100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One Year

Index

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the
long-term performance of the Fund, see Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the
Funds Statement of Additional Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely
affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading
vehicle for investors who intend to actively monitor and manage their portfolios.

Equity Securities Risk

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to
market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

Foreign Securities Risk

Indirectly investing in
foreign instruments may involve greater risks than investing in domestic instruments. As a result, the Funds returns and NAVs may be affected to a large degree by fluctuations in currency exchange rates, interest rates, political, diplomatic
or economic conditions and regulatory requirements in other countries. The laws and accounting, auditing, and financial reporting standards in foreign countries typically are not as strict as they are in the U.S., and there may be less public
information available about foreign companies.

High Portfolio Turnover Risk

Daily rebalancing of the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared
to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions
that comprise the majority of the Funds trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks
leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the
difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Funds net assets will rise by the same amount as the Funds exposure.
Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts each trading day with exposure which is 125% of its

net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using
simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will
have risen by 1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of $101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment
objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in
the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost
of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further,
purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund,
including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price
that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation
with the Index thus adversely affecting Fund performance.

Market Risk

The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic developments,
including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of
asset allocation and market timing investment strategies. These strategies often call for frequent trading, which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

The Fund is non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and
total return may fluctuate more or fall greater in times of weaker markets than a conventional diversified fund.

Other Investment Companies
(including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of
advisory fees and certain other expenses. By investing in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses
indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or
negatively by virtue of its investment in other investment companies. If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance.
In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other
investment company or ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

Regulatory Risk

The Fund is subject to the risk
that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely
high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The
Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result
of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial
portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a
result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed
information.

related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated investment company might be affected if the
Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

Valuation Time Risk

The Fund values its portfolio
as of the close of regular trading on the New York Stock Exchange (NYSE) (generally 4:00 p.m. Eastern Time). In some cases, foreign markets may close before the NYSE opens or may not be open for business on the same calendar days as the
Fund. As a result, the daily performance of a fund that tracks a foreign market index or an index that includes foreign securities can vary from the performance of that index.

Special Risks of Exchange-Traded Funds

Not
Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make
trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be
amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be
bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV.
Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a
particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the
NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a
bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares
may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based upon the daily
NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There

is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund
Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus.
Upon commencement of operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

Purchase and Sale of Fund Shares

The Fund will issue and
redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares.
Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV
(discount).

Tax Information

The Fund intends to
make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred
arrangement, such as a 401(k) plan or an individual retirement plan. Distributions or investments made through tax-deferred arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most
other ETFs.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the Fund and/or the Adviser may pay the
intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the Fund over another investment. Ask your
salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily Emerging Markets Bull 3X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the Funds
objective is to magnify the performance of an index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its index for such
longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to the Funds return for
the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full trading day or for a period
different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the FTSE Emerging Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time greater than one
day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by knowledgeable
investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily leveraged
investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who do not
intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the FTSE Emerging Index (Index) and/or financial instruments that provide leveraged and unleveraged exposure to the Index.
These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short positions; reverse repurchase agreements; exchange-traded funds
(ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or short-term

debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The term emerging market, as it is defined by the index provider, refers to an economy that is in the initial stages of industrialization and has
been historically marked by low per capita income and lack of capital market transparency, but appears to be implementing political and/or market reforms resulting in greater capital market transparency, increased access for foreign investors and
generally improved economic conditions. Emerging markets have the potential for significantly higher or lower rates of return and carry greater risks than more developed economies.

The Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. As of
June 30, 2014, the Index consisted of the following [20] emerging market country indices: [Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa,
Taiwan, Thailand, and Turkey.] The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks of a particular industry or group of industries) in a particular industry or group of industries to
approximately the same extent as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in
the Index that have aggregate characteristics similar to those of the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those
securities. The Fund invests in derivatives, which are financial instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund invests in
derivatives as a substitute for investing directly in a security in order to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its stated investment objective. At the close
of the markets each trading day, Rafferty positions the Funds portfolio so that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect whether the
Funds portfolio needs to be re-positioned. For example, if the Index has risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen on a given
day, net assets of the Fund should fall, meaning the Funds exposure will need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each days return over time, the return of the Fund for periods longer than a single day will be the
result of each days returns compounded over the period, which will very likely differ from 125% of the return of the Index over the same period. The Fund will lose money if the Index performance is flat over time, and as a result of daily
rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset
allocation and market timing investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment
Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The
Adviser cannot guarantee that the Fund will achieve its investment objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks
listed below and understand how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including
the Fund. There is the risk that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed.

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its

counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the
Fund and, as a result, the Fund may not be able to achieve its investment objective.

Currency Exchange Rate Risk

Changes in foreign currency exchange rates will affect the value of what the Fund owns and the Funds share price. Generally, when the U.S. Dollar
rises in value against a foreign currency, an investment in that country loses value because that currency is worth fewer U.S. Dollars. Devaluation of a currency by a countrys government or banking authority also will have a significant impact
on the value of any investments denominated in that currency. Currency markets generally are not as regulated as securities markets.

Daily Index
Correlation/Tracking Risk

There is no guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its
daily leveraged investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty
achieving its daily leveraged investment objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives, income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets
for the securities or derivatives held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect the Funds ability to adjust exposure to the required levels. The Fund may not have investment
exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that of the Index. In addition, the Fund may invest in securities or financial instruments not included in
the underlying Index. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is
impacted dynamically by the Indexs movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of each day. The possibility of the Fund being materially over- or under-exposed to its Index
increases on days when the Index is volatile near the close of the trading day. Activities surrounding periodic index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged
investment objective on that day.

Depositary Receipt Risk

To the extent the Fund seeks exposure to foreign companies, the Funds investments may be in the form of depositary receipts or other securities
convertible into securities of foreign issuers, including American Depositary Receipts (ADRs), European Depositary Receipts (EDRs), and Global Depositary Receipts (GDRs). Depositary receipts may be purchased
through sponsored or unsponsored facilities. A sponsored facility is established jointly by the issuer of the underlying security and a depositary, whereas a depositary may establish an unsponsored facility without
participation by the issuer of the depositary security. Holders of unsponsored

depositary receipts generally bear all the costs of such facilities and the depositary of an unsponsored facility frequently is under no obligation to distribute shareholder communications
received from the issuer of the deposited security or to pass through voting rights to the holders of such receipts of the deposited securities. While the use of ADRs, EDRs and GDRs, which are traded on exchanges and represent and ownership in a
foreign security, provide an alternative to directly purchasing the underlying foreign securities in their respective national markets and currencies, investments in ADRs, EDRs, and GDRs continue to be subject to certain of the risks associated with
investing directly in foreign securities.

Derivatives Risk

The Fund uses investment techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered
aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose
the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which
may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this underlying ETF may
not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater
correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap
agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value (NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to
immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily leveraged
investment objective. This may prevent the Fund from achieving its daily leveraged investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs
associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and
the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward
contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price for an agreed upon amount of

commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed upon date. A forward currency contract is an obligation to buy or sell a specific
currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices)
hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap agreements
are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of
return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of
a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the
counterparty and liquidity risk of the swaps themselves.

Early Close/Trading Halt Risk

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to,

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds portfolio
may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is expected that
the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The
effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below
provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the
Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were paid with respect to the securities included in the Index; (ii) there were no Fund expenses;
and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the estimated returns would be different than those shown. As shown below, the Fund would be expected
to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for
a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the
Fund. For instance, if the Indexs annualized volatility is 100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One Year

Index

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60

%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50

%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40

%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30

%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20

%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10

%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0

%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10

%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20

%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30

%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40

%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50

%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60

%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index

volatility and performance are not indications of what the Index volatility and performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the
value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the
effects of volatility and index performance on the long-term performance of the Fund, see Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the
Correlation Risks of the Funds in the Funds Statement of Additional Information.

Holding an unmanaged position opens the investor to the
risk of market volatility adversely affecting the performance of the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund
is designed as a short-term trading vehicle for investors who intend to actively monitor and manage their portfolios.

Emerging Markets Risk

Indirectly investing in emerging markets instruments involve greater risks than indirectly investing in foreign instruments in general. Risks of
investing in emerging market countries include: political or social upheaval; nationalization of businesses; restrictions on foreign ownership; prohibitions on the repatriation of assets; and risks from an economys dependence on revenues from
particular commodities or industries. In addition, currency transfer restrictions, limited potential buyers for such instruments, delays and disruption in settlement procedures and illiquidity or low volumes of transactions may make exits difficult
or impossible at times.

Equity Securities Risk

Investments in publicly issued equity securities and securities that provide exposure to equity securities, including common stocks, in general are subject to
market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Fund invests will cause the NAV of the Fund to fluctuate.

Foreign Securities Risk

Indirectly investing in
foreign instruments may involve greater risks than investing in domestic instruments. As a result, the Funds returns and NAVs may be affected to a large degree by fluctuations in currency exchange rates, interest rates, political, diplomatic
or economic conditions and regulatory requirements in other countries. The laws and accounting, auditing, and financial reporting standards in foreign countries typically are not as strict as they are in the U.S., and there may be less public
information available about foreign companies.

High Portfolio Turnover Risk

Daily rebalancing of the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared
to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them)

and/or long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Funds
trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Intra-Day Investment Risk

The Fund seeks
leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the
difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Funds net assets will rise by the same amount as the Funds exposure.
Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net
assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the
next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of
$101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more
money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged.
This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment.
The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further, purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index
declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks
of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities
also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security
at a loss. Such a situation may prevent the Fund from

The Fund is subject to market risks
that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant
portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of asset allocation and market timing investment strategies. These strategies often call for frequent trading,
which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. Fund
shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the
Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies. If the investment company or ETF fails to achieve its investment objective, the value of the
Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a premium and are subject to brokerage and other trading costs,
which could result in greater expenses to the Fund. Finally, because the value of ETF shares depends on the demand in the market, the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely
affecting the Funds performance.

Regulatory Risk

The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the
Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term
capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any
net short-term capital gain

to satisfy certain tax requirements and avoid federal income tax liability. As a result of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions
than traditional unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial portion or even all of the Funds net assets if it distributes this income after a decline in its net
assets. In addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which
could lead to negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed information.

Rules
governing the federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a
regulated investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be
limited.

Valuation Time Risk

The Fund values
its portfolio as of the close of regular trading on the New York Stock Exchange (NYSE) (generally 4:00 p.m. Eastern Time). In some cases, foreign markets may close before the NYSE opens or may not be open for business on the same
calendar days as the Fund. As a result, the daily performance of a fund that tracks a foreign market index or an index that includes foreign securities can vary from the performance of that index.

Special Risks of Exchange-Traded Funds

Not
Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make
trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be
amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be
bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV.
Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a
particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price

and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares,
like the price of any exchange-traded security, includes a bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask
spread often increases significantly. This means that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The
Funds investment results are measured based upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those
creating and redeeming directly with the Fund. There is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund
Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus.
Upon commencement of operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

Purchase and Sale of Fund Shares

The Fund will issue and
redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares.
Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV
(discount).

Tax Information

The Fund intends to
make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred
arrangement, such as a 401(k) plan or an individual retirement plan. Distributions or investments made through tax-deferred arrangements may be taxed later upon withdrawal.

Distributions by the Fund may be significantly higher than those of most other ETFs.

Payments to
Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or
financial advisor), the Fund and/or the Adviser may pay the intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your
salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily 7-10 Year Treasury Bull 1.25X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the
Funds objective is to magnify the performance of an index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its index
for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to the Funds
return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full trading day or for a
period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the NYSE 7-10 Year Treasury Bond Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time
greater than one day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by
knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily
leveraged investment results relative to the Index and is different and riskier than similarly underlying indexed exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for,
investors who do not intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING
EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your
investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in U.S. government securities that comprise the NYSE 7-10 Year Treasury Bond Index (Index) and/or financial instruments that provide leveraged and unleveraged
exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short positions; reverse repurchase agreements;
exchange-traded funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money

market funds or short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase
agreements.

The Index is a multi-security index that includes all qualified U.S. Treasury bonds. Bonds eligible for inclusion must be: U.S. Treasury
Bonds; bullet or callable issues with fixed coupon payments; denominated in U.S. Dollars; and have a maturity of 7-10 years at issuance. The Index rebalances monthly, after the close of trading on the last business day of each month, with coupons
re-invested in the index. The weighting of the bonds in each index is reset during the rebalance to represent the market value of each issue. The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the stocks
of a particular industry or group of industries) in a particular industry or group of industries to approximately the same extent as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of
the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those securities. The Fund invests in derivatives, which are financial
instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund invests in derivatives as a substitute for investing directly in a security in order
to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its investment objective. At the close of the markets each trading day, Rafferty positions the Funds portfolio so
that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect whether the Funds portfolio needs to be re-positioned. For example, if the Index has
risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the Funds exposure will
need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each
days return over time, the return of the Fund for periods longer than a single day will be the result of each days returns compounded over the period, which will very likely differ from 300% of the return of the Index over the same
period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the
Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset
allocation and market timing investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and understand
how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk
that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single
counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

The Fund could lose money if the issuer or guarantor of a debt security goes bankrupt or is unable or unwilling to make interest payments and/or repay
principal. Changes in an issuers financial strength or in an issuers or debt securitys credit rating also may affect a securitys value and thus have an impact on Fund performance.

Daily Index Correlation/Tracking Risk

There is no
guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to
keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives,
income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect
the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that
of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over-
or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of
each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding periodic index reconstitutions and other index
rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives
Risk

The Fund uses investment techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may
be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of
derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and
the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this
underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to the extent that the Fund

invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with the Index as it
would if the Fund used swaps that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in
the Funds net asset value (NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be
unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment
objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs associated with using derivatives may also have the effect of lowering the Funds return. In
addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures
Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price
for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date,
which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices)
hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap agreements
are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of
return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of
a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the
counterparty and liquidity risk of the swaps themselves.

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds
portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is
expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a
statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations
of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were
paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the
estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized
volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if
the Indexs annualized volatility is 100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One Year

Index

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

High Portfolio Turnover Risk

Daily rebalancing of the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared
to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains. The Fund calculates portfolio

turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Funds trading. As such, if the Funds extensive use of
derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Interest Rate Risk

The value of the Funds investments in fixed income securities and securities that provide exposure to fixed income securities will fall when interest
rates rise. Because the Fund invests in intermediate-term bonds, the effect of increasing interest rates may be more pronounced than for investment in short-term bonds. Recent events in the fixed-income market may expose the Fund to heightened
interest rate risk and volatility.

Intra-Day Investment Risk

The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day.
The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the
Index gains value, the Funds net assets will rise by the same amount as the Funds exposure. Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts
each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified
numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by
1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of $101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment
objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in
the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost
of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further,
purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities
also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security
at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index.

Market Risk

The Fund is subject to market risks that can affect the value of its shares. These risks include political, regulatory, market and economic
developments, including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of
asset allocation and market timing investment strategies. These strategies often call for frequent trading, which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company
or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies.
If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially
may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company or ETF shares depends on the demand in the market,
the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the
Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term
capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any
net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional
unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In
addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to
negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed information.

Rules governing the
federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated
investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

U.S. Government Securities Risk

A security backed by the U.S. Treasury or the full faith and credit of the United States is guaranteed only as to the timely payment of
interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate. In addition, because many types of U.S. government securities trade actively outside the United States, their prices may rise
and fall as changes in global economic conditions affect the demand for these securities.

Special Risks of Exchange-Traded Funds

Not Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation
Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an
exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to
meet the listing requirements of the exchange on which it trades, and the listing requirements may be amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an
exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or
at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by
the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market
price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security,
includes a bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means
that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based
upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund.
There is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

Purchase and Sale of Fund Shares

The Fund will issue and
redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares.
Retail investors may only purchase and sell Shares on a national securities exchange

through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

The Fund intends to
make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred
arrangement, such as a 401(k) plan or an individual retirement plan. Distributions or investments made through tax-deferred arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most
other ETFs.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the Fund and/or the Adviser may pay the
intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the Fund over another investment. Ask your
salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily 20+ Year Treasury Bull 1.25X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the
Funds objective is to magnify the performance of an index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its index
for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to the Funds
return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full trading day or for a
period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the NYSE 20 Year Plus Treasury Bond Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of time
greater than one day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by
knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily
leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who
do not intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING
EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your
investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in U.S. government securities that comprise the NYSE 20 Year Plus Treasury Bond Index (Index) and/or financial instruments that provide leveraged and
unleveraged exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short positions; reverse repurchase
agreements; exchange-traded funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money

market funds or short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase
agreements.

The Index is a multi-security index that includes all qualified U.S. Treasury bonds. Bonds eligible for inclusion must be: U.S. Treasury
Bonds; bullet or callable issues with fixed coupon payments; denominated in U.S. Dollars; and have a maturity of 20 or more years at issuance. The Index rebalances monthly, after the close of trading on the last business day of each month, with
coupons re-invested in the index. The weighting of the bonds in each index is reset during the rebalance to represent the market value of each issue. The Fund will concentrate its investment (i.e., hold 25% or more of its total assets in the
stocks of a particular industry or group of industries) in a particular industry or group of industries to approximately the same extent as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of
the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those securities. The Fund invests in derivatives, which are financial
instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund invests in derivatives as a substitute for investing directly in a security in order
to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its investment objective. At the close of the markets each trading day, Rafferty positions the Funds portfolio so
that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect whether the Funds portfolio needs to be re-positioned. For example, if the Index has
risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the Funds exposure will
need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each
days return over time, the return of the Fund for periods longer than a single day will be the result of each days returns compounded over the period, which will very likely differ from 300% of the return of the Index over the same
period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the
Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset
allocation and market timing investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and understand
how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk
that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed

Counterparty Risk

The Fund may invest in
financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial
instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of
loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be considered to be illiquid. In addition, the
Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its counterparty risk with respect to any single
counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to achieve its investment objective.

The Fund could lose money if the issuer or guarantor of a debt security goes bankrupt or is unable or unwilling to make interest payments and/or repay
principal. Changes in an issuers financial strength or in an issuers or debt securitys credit rating also may affect a securitys value and thus have an impact on Fund performance.

Daily Index Correlation/Tracking Risk

There is no
guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to
keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives,
income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect
the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that
of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over-
or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of
each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding periodic index reconstitutions and other index
rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Derivatives
Risk

The Fund uses investment techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may
be considered aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of
derivatives may expose the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and
the derivative, which may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this
underlying ETF may not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to the extent that the Fund

invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with the Index as it
would if the Fund used swaps that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap agreements, if the Index has a dramatic intraday move in value that causes a material decline in
the Funds net asset value (NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to immediately close out of the transaction with the Fund. In such circumstances, the Fund may be
unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily leveraged investment objective. This may prevent the Fund from achieving its daily leveraged investment
objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs associated with using derivatives may also have the effect of lowering the Funds return. In
addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures
Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price
for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date,
which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and movements in the price of the securities (or indices)
hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap agreements
are entered into primarily with major global financial institutions for a specified period which may range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of
return) earned or realized on particular predetermined reference or underlying securities or instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of
a particular dollar amount invested in a basket of securities representing a particular index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the
counterparty and liquidity risk of the swaps themselves.

An exchange or market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be
restricted, which may result in the Fund being unable to buy or sell certain securities or financial instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may
incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds
portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is
expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences volatility. The Indexs volatility rate is a
statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows estimated Fund returns for a number of combinations
of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in the chart assumes that: (i) no dividends were
paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or actual borrowing/lending rates were reflected, the
estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period during which the Index experienced annualized
volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if
the Indexs annualized volatility is 100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One Year

Index

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement of Additional
Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of the investment.
The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who intend to actively
monitor and manage their portfolios.

High Portfolio Turnover Risk

Daily rebalancing of the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared
to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains. The Fund calculates portfolio

turnover without including the short-term cash instruments or derivative transactions that comprise the majority of the Funds trading. As such, if the Funds extensive use of
derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Interest Rate Risk

The value of the Funds investments in fixed income securities and securities that provide exposure to fixed income securities will fall when interest
rates rise. Because the Fund invests in long-term bonds, the effect of increasing interest rates may be more pronounced than investment in intermediate-term or short-term bonds. Recent events in the fixed-income market may expose the Fund to
heightened interest rate risk and volatility.

Intra-Day Investment Risk

The Fund seeks leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day.
The exact exposure of an investment in the Fund intraday in the secondary market is a function of the difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the
Index gains value, the Funds net assets will rise by the same amount as the Funds exposure. Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts
each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified
numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by
1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of $101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment
objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more money in market conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in
the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost
of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further,
purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index declines between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks of using leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities
also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security
at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index thus adversely affecting Fund performance.

Market Risk

The Fund is subject to market risks
that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant
portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of asset allocation and market timing investment strategies. These strategies often call for frequent trading,
which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company or ETF, the Fund becomes a shareholder thereof. As a result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company
or ETF, in addition to the fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies.
If the investment company or ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially
may trade at a discount or a premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company or ETF shares depends on the demand in the market,
the Adviser may not be able to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the
Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term
capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any
net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional
unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In
addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to
negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed information.

Rules governing the
federal income tax aspects of certain derivatives, including total return equity swaps, real estate-related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated
investment company might be affected if the Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

U.S. Government Securities Risk

A security backed
by the U.S. Treasury or the full faith and credit of the United States is guaranteed only as to the timely payment of interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate. In
addition, because many types of U.S. government securities trade actively outside the United States, their prices may rise and fall as changes in global economic conditions affect the demand for these securities.

Special Risks of Exchange-Traded Funds

Not
Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make
trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be
amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an
exchange can be bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or
at their NAV. Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by
the Fund at a particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market
price and the NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security,
includes a bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means
that Shares may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based
upon the daily NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund.
There is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus. Upon commencement of
operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

Purchase and Sale of Fund Shares

The Fund will issue and
redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares.
Retail investors may only purchase and sell Shares on a national securities exchange

through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV (discount).

Tax Information

The Fund intends to make distributions
that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred arrangement, such as a
401(k) plan or an individual retirement plan. Distributions or investments made through tax-deferred arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most other ETFs.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the Fund and/or the Adviser may pay the
intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the Fund over another investment. Ask your
salesperson or visit your financial intermediarys website for more information.

The Direxion
Daily Total Bond Market Bull 1.25X Shares (Fund) seeks daily leveraged investment results. The pursuit of daily leveraged goals means that the Fund is riskier than alternatives that do not use leverage because the
Funds objective is to magnify the performance of an index. The pursuit of daily leveraged investment goals means that the return of the Fund for a period longer than a full trading day may have no resemblance to 125% of the return of its index
for such longer period because the aggregate return of the Fund is the product of the series of daily leveraged returns for each trading day. The path of the underlying index during the longer period may be at least as important to the Funds
return for the longer period as the cumulative return of the underlying index for the relevant longer period, especially in periods of market volatility. Further, the return for investors that invest for periods less than a full trading day or for a
period different than a trading day will not be the product of the return of the Funds stated goal and the performance of the underlying index for the full trading day.

Investment Objective

The Fund seeks daily investment
results, before fees and expenses, of 125% of the performance of the Barclays Capital U.S. Aggregate Bond Index. The Fund seeks daily leveraged investment results and does not seek to achieve its stated investment objective over a period of
time greater than one day. The Fund is different and much riskier than most exchange-traded funds.

The Fund is designed to be utilized only by
knowledgeable investors who understand the potential consequences of seeking daily leveraged investment results, understand the risks associated with the use of leverage and are willing to monitor their portfolios frequently. The Fund seeks daily
leveraged investment results relative to the Index and is different and riskier than similarly benchmarked exchange-traded funds that do not use leverage. Therefore, the Fund is not intended to be used by, and is not appropriate for, investors who
do not intend to actively monitor and manage their portfolios.

Fees and Expenses of the Fund

This table describes the fees and expenses that you may pay if you buy or hold shares of the Fund (Shares). Investors purchasing shares in the
secondary market may pay costs (including customary brokerage commissions) charged by their broker.

ANNUAL FUND OPERATING EXPENSES(1)

(expenses that you pay each year as a percentage of the value of your investment)

Management Fees

[ ]%

Distribution and/or Service (12b-1) Fees

0.00%

Other Expenses of the Fund (2)

[ ]%

Acquired Fund Fees and Expenses

[ ]%

Total Annual Fund Operating Expenses

[ ]%

Expense Cap/Reimbursement

[ ]%

Total Annual Fund Operating Expenses After Expense Cap/Reimbursement

[ ]%

(1)

Rafferty Asset Management, LLC (Rafferty or the Adviser) has entered into an Operating Expense Limitation Agreement with the Fund. Under the Operating Expense Limitation Agreement, Rafferty
contractually agreed to cap all or a portion of its management fee and/or reimburse the Fund for Other Expenses through September 1, 2015, to the extent that the Funds Total Annual Operating Expenses exceed [ ]%
(excluding, as applicable, among other expenses, taxes, leverage interest, acquired fund fees and expenses, dividends or interest on short positions, other interest expenses, brokerage commissions, expenses incurred in connection with any merger or
reorganization and extraordinary expenses such as litigation). Any expense cap is subject to reimbursement by the Fund within the following three years only if overall expenses fall below these percentage limitations. This agreement may be
terminated or revised at any time with the consent of the Board of Trustees.

(2)

Other Expenses are estimated for the Funds current fiscal year.

Expense Example

The example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you
invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Funds operating expenses remain the
same. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year

3 Years

$[ ]

$

[

]

Portfolio Turnover

The
Fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are
held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the example, affect the Funds performance.

Principal Investment Strategies

The Fund, under normal
circumstances, creates long positions by investing at least 80% of its assets in the securities that comprise the Barclays Capital U.S. Aggregate Bond Index (Index) and/or financial instruments that provide leveraged and unleveraged
exposure to the Index. These financial instruments include: futures contracts; options on securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short positions; reverse repurchase agreements;
exchange-traded funds (ETFs); and other financial instruments. On a day-to-day basis, the Fund invests the remainder of its assets in money market funds or

short-term debt instruments that have terms-to-maturity of less than 397 days and exhibit high quality credit profiles, including U.S. government securities and repurchase agreements.

The Index measures the performance of the investment grade, U.S. Dollar denominated, fixed-rate taxable bond market, and is composed of U.S. Treasury
bonds, government-related bonds, investment-grade corporate bonds, mortgage pass-through securities, commercial mortgage-backed securities and asset-backed securities. All bonds included in the Index must be denominated in U.S. Dollars, have a fixed
rate, be non-convertible, be publicly offered in the U.S. and have at least one year remaining until maturity. The Index is capitalization weighted and rebalanced monthly. The Fund will concentrate its investment (i.e., hold 25% or more of
its total assets in the stocks of a particular industry or group of industries) in a particular industry or group of industries to approximately the same extent as the Index is so concentrated.

The Fund may gain leveraged exposure to only a representative sample of the securities in the Index that have aggregate characteristics similar to those of
the Index. The Fund gains this exposure either by directly investing in the underlying securities of the Index or by investing in derivatives that provide leveraged exposure to those securities. The Fund invests in derivatives, which are financial
instruments that derive value from the underlying reference asset or assets, such as stocks, bonds, or funds (including ETFs), interest rates or indexes. The Fund invests in derivatives as a substitute for investing directly in a security in order
to gain leveraged exposure to the Index or its components. The Fund seeks to remain fully invested at all times consistent with its investment objective. At the close of the markets each trading day, Rafferty positions the Funds portfolio so
that its exposure to the Index is consistent with the Funds investment objective. The impact of the Indexs movements during the day will affect whether the Funds portfolio needs to be re-positioned. For example, if the Index has
risen on a given day, net assets of the Fund should rise, meaning that the Funds exposure will need to be increased. Conversely, if the Index has fallen on a given day, net assets of the Fund should fall, meaning the Funds exposure will
need to be reduced. This re-positioning strategy typically results in high portfolio turnover.

Because of daily rebalancing and the compounding of each
days return over time, the return of the Fund for periods longer than a single day will be the result of each days returns compounded over the period, which will very likely differ from 300% of the return of the Index over the same
period. The Fund will lose money if the Index performance is flat over time, and as a result of daily rebalancing, the Indexs volatility and the effects of compounding, it is even possible that the Fund will lose money over time while the
Indexs performance increases.

Additionally, because a significant portion of the assets of the Fund may come from investors using asset
allocation and market timing investment strategies, the Fund may further need to engage in frequent trading.

Principal Investment Risks

An investment in the Fund entails risk. The Fund could lose money or its performance could trail that of other investment alternatives. The Adviser cannot
guarantee that the Fund will achieve its objective. In addition, the Fund presents some risks not traditionally associated with most mutual funds and ETFs. It is important that investors closely review all of the risks listed below and understand
how these risks interrelate before making an investment in the Fund. Turbulence in financial markets and reduced liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Fund. There is the risk
that you could lose all or a portion of your money invested in the Fund.

Adverse Market Conditions Risk

Because the Fund magnifies the performance of the Index, its performance will suffer during conditions in which the Index declines.

Advisers Investment Strategy Risk

The
Adviser utilizes a quantitative methodology to select investments for the Fund. Although this methodology is designed to correlate the Funds performance with the performance of the Index, there is no assurance that such methodology will be
successful and will enable the Fund to achieve its investment objective.

Aggressive Investment Techniques Risk

The Fund uses investment techniques that may be considered aggressive and may entail significantly higher than normal risk. Risks associated with the use of
futures contracts, forward contracts, options and swap agreements include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the price of the contract and the underlying security or index.
These instruments may increase the volatility of the Fund and may involve a small investment of cash relative to the magnitude of the risk assumed

Asset-Backed Securities Risk

Payment of interest
and repayment of principal may be impacted by the cash flows generated by the assets backing these securities. The value of the Funds asset-backed securities also may be affected by changes in interest rates, the availability of information
concerning the interests in and structure of the pools of purchase contracts, financing leases or sales agreements that are represented by these securities, the creditworthiness of the servicing agent for the pool, the originator of the loans or
receivables, or the entities that provide any supporting letters of credit, surety bonds, or other credit enhancements.

Counterparty Risk

The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of
securities or an asset class without actually purchasing those securities or investments, or to hedge a position. These financial instruments may include swap agreements. The use of swap agreements and other counterparty instruments involves risks
that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount

expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Swap agreements and other counterparty instruments also may be
considered to be illiquid. In addition, the Fund may enter into swap agreements that involve a limited number of counterparties, which may increase the Funds exposure to counterparty credit risk. The Fund does not specifically limit its
counterparty risk with respect to any single counterparty. Further, there is a risk that no suitable counterparties will be willing to enter into, or continue to enter into, transactions with the Fund and, as a result, the Fund may not be able to
achieve its investment objective.

Credit Risk

The Fund could lose money if the issuer or guarantor of a debt security goes bankrupt or is unable or unwilling to make interest payments and/or repay
principal. Changes in an issuers financial strength or in an issuers or debt securitys credit rating also may affect a securitys value and thus have an impact on Fund performance.

Daily Index Correlation/Tracking Risk

There is no
guarantee that the Fund will achieve a high degree of correlation to the Index and therefore achieve its daily leveraged investment objective. To achieve a high degree of correlation with the Index, the Fund seeks to rebalance its portfolio daily to
keep leverage consistent with its daily leveraged investment objective. The Fund may have difficulty achieving its daily leveraged investment objective due to fees, expenses, transactions costs, financing costs related to the use of derivatives,
income items, valuation methodology, accounting standards and disruptions or illiquidity in the markets for the securities or derivatives held by the Fund. Market disruptions, regulatory restrictions or extreme volatility will also adversely affect
the Funds ability to adjust exposure to the required levels. The Fund may not have investment exposure to all securities in its underlying Index, or its weighting of investment exposure to such stocks or industries may be different from that
of the Index. In addition, the Fund may invest in securities or financial instruments not included in the underlying Index. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over-
or under-exposed to its Index. In addition, the target amount of portfolio exposure to the Index is impacted dynamically by the Indexs movement. Because of this, it is unlikely that the Fund will be perfectly exposed to the Index at the end of
each day. The possibility of the Fund being materially over- or under-exposed to its Index increases on days when the Index is volatile near the close of the trading day. Activities surrounding periodic index reconstitutions and other index
rebalancing or reconstitution events may hinder the Funds ability to meet its daily leveraged investment objective on that day.

Debt
Instrument Risk

The Fund may invest in, or seek exposure to, debt instruments. Debt instruments may have varying levels of sensitivity to changes
in interest rates, credit risk and other factors. Many types of debt instruments are subject to prepayment risk, which is the risk that the issuer of the security will repay principal prior to the maturity date. In addition, changes in the credit

quality of the issuer of a debt instrument can also affect the price of a debt instrument, as can an issuers default on its payment obligations. Such factors may cause the value of an
investment in the Fund to decrease.

Derivatives Risk

The Fund uses investment techniques, including investment in derivatives, such as swaps, futures and forward contracts, and options, that may be considered
aggressive. Investments in these derivatives may generally be subject to market risks that cause their prices to fluctuate more than an investment directly in a security and may increase the volatility of the Fund. The use of derivatives may expose
the Fund to additional risks such as counterparty risk, liquidity risk and increased correlation risk. When the Fund uses derivatives, there may be imperfect correlation between the value of the underlying reference assets and the derivative, which
may prevent the Fund from achieving its investment objective. The Fund may use a combination of swaps on the Index and swaps on an ETF whose investment objective is to track the performance of the Index. The performance of this underlying ETF may
not track the performance of the Index due to fees and other costs borne by the ETF and other factors. Thus, to the extent that the Fund invests in swaps that use an ETF as a reference or underlying asset, the Fund may be subject to greater
correlation risk and may not achieve as high a degree of correlation with the Index as it would if the Fund used swaps that utilized the Index securities as a reference or as underlying assets. Additionally, with respect to the use of swap
agreements, if the Index has a dramatic intraday move in value that causes a material decline in the Funds net asset value (NAV), the terms of the swap agreement between the Fund and its counterparty may allow the counterparty to
immediately close out of the transaction with the Fund. In such circumstances, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Funds daily leveraged
investment objective. This may prevent the Fund from achieving its daily leveraged investment objective particularly if the Index reverses all or a portion of its intraday move by the end of the day. Any financing, borrowing or other costs
associated with using derivatives may also have the effect of lowering the Funds return. In addition, the Funds investments in derivatives, as of the date of this Prospectus, are subject to the following risks:

Futures Contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and
the prices of futures contracts. There may not be a liquid secondary market for the futures contracts.

Forward Contracts. Forward
contracts are two- party contracts pursuant to which one party agrees to pay the counterparty a fixed price for an agreed upon amount of commodities, securities, or the cash value of the commodities, securities or the securities index, at an agreed
upon date. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract.

Options. There may be an imperfect correlation between the prices of options and
movements in the price of the securities (or indices) hedged or used for cover, which may cause a given hedge not to achieve its investment objective.

Swap Agreements. Swap agreements are entered into primarily with major global financial institutions for a specified period which may
range from one day to more than one year. In a standard swap transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on particular predetermined reference or underlying securities or
instruments. The gross return to be exchanged or swapped between the parties is calculated based on a notional amount or the return on or change in value of a particular dollar amount invested in a basket of securities representing a particular
index. Interest rate swaps are subject to interest rate and credit risk. Total return swaps are subject to counterparty risk, which relates to credit risk of the counterparty and liquidity risk of the swaps themselves.

Early Close/Trading Halt Risk

An exchange or
market may close or issue trading halts on specific securities, or the ability to buy or sell certain securities or financial instruments may be restricted, which may result in the Fund being unable to buy or sell certain securities or financial
instruments. In such circumstances, the Fund may be unable to rebalance its portfolio, may be unable to accurately price its investments and/or may incur substantial trading losses.

Effects of Compounding and Market Volatility Risk

The Fund does not attempt to, and should not be expected to, provide returns which are a multiple of the return of the Index for periods other than a single
day. The Fund rebalances its portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses. This means that for a period longer than one day, the pursuit of daily
goals may result in daily leveraged compounding. It also means that the return of an index over a period of time greater than one day multiplied by the Funds daily target (125%) generally will not equal the Funds performance over
that same period. If adverse daily performance of a Funds underlying index reduces the amount of a shareholders investment, any further adverse daily performance will lead to a smaller dollar loss because the shareholders
investment had already been reduced by the prior adverse performance. Equally, however, if favorable daily performance of a Funds underlying index increases the amount of a shareholders investment, the dollar amount lost due to future
adverse performance will increase correspondingly.

As a result, over time, the cumulative percentage increase or decrease in the value of the Funds
portfolio may diverge significantly from the cumulative percentage increase or decrease in the multiple of the return of the Funds underlying index due to the compounding effect of losses and gains on the returns of the Fund. It also is
expected that the Funds use of leverage will cause the Fund to underperform the return of two times its underlying index in a trendless or flat market.

The effect of compounding becomes more pronounced on the Funds performance as the Index experiences
volatility. The Indexs volatility rate is a statistical measure of the magnitude of fluctuations in the returns of the Index. The table below provides examples of how Index volatility could affect the Funds performance. The chart shows
estimated Fund returns for a number of combinations of performance and volatility over a one-year period and is shown to illustrate how holding the Fund for a period longer than one day may negatively impact investment return. Performance shown in
the chart assumes that: (i) no dividends were paid with respect to the securities included in the Index; (ii) there were no Fund expenses; and (iii) borrowing/lending rates (to obtain leveraged exposure) of 0%. If Fund expenses and/or
actual borrowing/lending rates were reflected, the estimated returns would be different than those shown. As shown below, the Fund would be expected to lose 0.8% (as shown in Table 1 below) if its Index provided no return over a one year period
during which the Index experienced annualized volatility of 25%. If the Indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for the Fund widens to approximately 24.6%.

At higher ranges of volatility, there is a chance of a near complete loss of value in the Fund. For instance, if the Indexs annualized volatility is
100%, the Fund would be expected to lose over 32.3% of its value, even if the cumulative Index return for the year was 0%.

Table 1

One Year

Index

125%One YearIndex

Volatility Rate

Return

Simple Return

10%

25%

50%

75%

100%

-60

%

-75

%

-68.6

%

-70.1

%

-74.3

%

-78.3

%

-81.3

%

-50

%

-63

%

-58.4

%

-60.3

%

-65.0

%

-70.3

%

-74.3

%

-40

%

-50

%

-47.7

%

-49.9

%

-55.7

%

-61.8

%

-66.6

%

-30

%

-38

%

-36.5

%

-39.0

%

-45.9

%

-52.7

%

-58.5

%

-20

%

-25

%

-24.9

%

-27.8

%

-35.6

%

-43.6

%

-50.0

%

-10

%

-13

%

-13.0

%

-16.3

%

-25.2

%

-34.2

%

-41.1

%

0

%

0

%

-0.8

%

-4.4

%

-13.8

%

-24.6

%

-32.3

%

10

%

13

%

11.8

%

7.6

%

-2.9

%

-14.4

%

-23.0

%

20

%

25

%

24.6

%

20.0

%

7.8

%

-4.3

%

-14.3

%

30

%

38

%

37.7

%

32.5

%

18.4

%

5.5

%

-5.0

%

40

%

50

%

51.0

%

45.1

%

29.8

%

15.8

%

5.5

%

50

%

63

%

64.5

%

57.9

%

40.7

%

25.3

%

14.8

%

60

%

75

%

78.2

%

70.8

%

51.8

%

35.5

%

23.8

%

The Indexs annualized historical volatility rate for the period from June 30, 2009 through June 30, 2014 is
[ ]%. The Indexs highest volatility rate for any one calendar year during the five-year period is [ ]% and volatility for a shorter period of time may have been substantially higher. The
Indexs annualized performance for the five-year period from June 30, 2009 through June 30, 2014 is [ ]%. Historical Index volatility and performance are not indications of what the Index volatility and
performance will be in the future. The volatility of U.S. exchange traded funds or instruments that reflect the value of the underlying Index such as swaps, may differ from the volatility of the Index.

For additional information and examples demonstrating the effects of volatility and index performance on the long-term performance of the Fund, see
Additional Information

Regarding Investment Techniques and Policies in the Funds statutory prospectus, and Special Note Regarding the Correlation Risks of the Funds in the Funds Statement
of Additional Information.

Holding an unmanaged position opens the investor to the risk of market volatility adversely affecting the performance of
the investment. The Fund is not appropriate for investors who do not intend to actively monitor and manage their portfolios. This table is intended to underscore the fact that the Fund is designed as a short-term trading vehicle for investors who
intend to actively monitor and manage their portfolios.

High Portfolio Turnover Risk

Daily rebalancing of the Funds holdings pursuant to its daily investment objective causes a much greater number of portfolio transactions when compared
to most ETFs. Such frequent and active trading leads to significantly higher transaction costs because of increased broker commissions resulting from such transactions. In addition, there is the possibility of significantly increased short-term
capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains. The Fund calculates portfolio turnover without including the short-term cash instruments or derivative transactions
that comprise the majority of the Funds trading. As such, if the Funds extensive use of derivative instruments were reflected, the calculated portfolio turnover rate would be significantly higher.

Interest Rate Risk

The value of the Funds
investments in fixed income securities and securities that provide exposure to fixed income securities will fall when interest rates rise. The effect of increasing interest rates is more pronounced for any intermediate-term or longer-term fixed
income obligations owned by the Fund. Recent events in the fixed-income market may expose the Fund to heightened interest rate risk and volatility.

Intra-Day Investment Risk

The Fund seeks
leveraged investment results from the close of the market on a given trading day until the close of the market on the subsequent trading day. The exact exposure of an investment in the Fund intraday in the secondary market is a function of the
difference between the value of the Index at the market close on the first trading day and the value of the Index at the time of purchase. If the Index gains value, the Funds net assets will rise by the same amount as the Funds exposure.
Conversely, if the Index declines, the Funds net assets will decline by the same amount as the Funds exposure. Since a Fund starts each trading day with exposure which is 125% of its net assets, a change in both the exposure and the net
assets of the Fund by the same absolute amount results in a change in the comparative relationship of the two. As an example (using simplified numbers), if the Fund had $100 in net assets at the market close, it would seek $125 of exposure to the
next trading days Index performance. If the Index rose by 1% by noon the following trading day, the exposure of the Fund will have risen by 1% to $126.25 and the net assets will have risen by that $1.25 gain to $101.25. With net assets of
$101.25 and exposure of $126.26, a purchaser at that point would be receiving 124.7% exposure of her investment instead of 125%.

Leverage Risk

To achieve its daily investment objective, the Fund obtains investment exposure in excess of its assets by utilizing leverage and may lose more money in market
conditions that are adverse to its daily objective than a similar fund that does not utilize leverage. If you invest in the Fund, you are exposed to the risk that a decline in the daily performance of the Index will be leveraged. This means that
your investment in the Fund will be reduced by an amount equal to 1.25% for every 1% daily decline, not including the cost of financing the portfolio and the impact of operating expenses, which would further lower your investment. The Fund could
theoretically lose an amount greater than its net assets in the event of an Index decline of more than 80%. Further, purchasing shares during a day may result in greater than 125% exposure to the performance of the Index if the Index declines
between the close of the markets on one trading day and before the close of the markets on the next trading day.

To fully understand the risks of using
leverage in the Fund, see Effects of Compounding and Market Volatility Risk above.

Liquidity Risk

Some securities held by the Fund, including derivatives, may be difficult to sell or illiquid, particularly during times of market turmoil. Illiquid securities
also may be difficult to value. If the Fund is forced to sell an illiquid security at an unfavorable time or at a price that is lower than Raffertys judgment of the securitys true market value, the Fund may be forced to sell the security
at a loss. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Index thus adversely affecting Fund performance.

Market Risk

The Fund is subject to market risks
that can affect the value of its shares. These risks include political, regulatory, market and economic developments, including developments that impact specific economic sectors, industries or segments of the market.

Market Timing Risk

Rafferty expects a significant
portion of the assets of the Fund to come from professional money managers and investors who use the Funds as part of asset allocation and market timing investment strategies. These strategies often call for frequent trading,
which may lead to increased portfolio turnover, higher transaction costs, and the possibility of increased short-term capital gains (which will be taxable to shareholders as ordinary income when distributed to them) and/or long-term capital gains.

Non-Diversification Risk

The Fund is
non-diversified, which means it invests a high percentage of its assets in a limited number of securities. A non-diversified funds NAV and total return may fluctuate more or fall greater in times of weaker markets than a conventional
diversified fund.

Other Investment Companies (including Exchange Traded Funds) Risk

Investments in the securities of other investment companies, including ETFs, may involve duplication of advisory fees and certain other expenses. By investing
in another investment company or ETF, the Fund becomes a shareholder thereof. As a

result, Fund shareholders indirectly bear the Funds proportionate share of the fees and expenses indirectly paid by shareholders of the other investment company or ETF, in addition to the
fees and expenses Fund shareholders bear in connection with the Funds own operations. The Funds performance may be magnified positively or negatively by virtue of its investment in other investment companies. If the investment company or
ETF fails to achieve its investment objective, the value of the Funds investment will decline, adversely affecting the Funds performance. In addition, closed end investment company and ETF shares potentially may trade at a discount or a
premium and are subject to brokerage and other trading costs, which could result in greater expenses to the Fund. Finally, because the value of other investment company or ETF shares depends on the demand in the market, the Adviser may not be able
to liquidate the Funds holdings in those shares at the most optimal time, adversely affecting the Funds performance.

Prepayment Risk
and Mortgage-Backed Securities Risk

Many types of debt securities, including mortgage securities, are subject to prepayment risk, which is the
risk that the issuer of the security will repay principal prior to the maturity date. Securities subject to prepayment can offer less potential for gains during a declining interest rate environment and similar or greater potential for loss in a
rising interest rate environment. In addition, the potential impact of prepayment features on the price of a debt security can be difficult to predict and result in greater volatility. As a result, the Fund may have to reinvest its assets in
mortgage securities or other debt securities that have lower yields.

Regulatory Risk

The Fund is subject to the risk that a change in U.S. law and related regulations will impact the way the Fund operates, increase the particular costs of the
Funds operations and/or change the competitive landscape.

Tax and Distribution Risk

The Fund has extremely high portfolio turnover which, causes the Fund to generate significant amounts of taxable income. This income is typically short-term
capital gain, which is treated as ordinary income when distributed to shareholders, or short-term capital loss. The Fund rarely holds securities long enough to generate long-term capital gain or loss. The Fund will generally need to distribute any
net short-term capital gain to satisfy certain tax requirements and avoid federal income tax liability. As a result of the Funds high portfolio turnover, the Fund could make larger and/or more frequent distributions than traditional
unleveraged ETFs. Because the Funds asset level changes frequently, these distributions could comprise a substantial portion or even all of the Funds net assets if it distributes this income after a decline in its net assets. In
addition, the Fund may be held by short-term investors, which may exit the Fund prior to the record date of a distribution. As a result, shareholders in the Fund on the day of a distribution may receive substantial distributions, which could lead to
negative tax implications for them. Potential investors are urged to consult their own tax advisers for more detailed information.

related swaps, credit default swaps and other credit derivatives, are not entirely clear. Because the Funds status as a regulated investment company might be affected if the
Internal Revenue Service did not accept the Funds treatment of certain transactions involving derivatives, the Funds ability to engage in these transactions may be limited.

U.S. Government Securities Risk

A security backed
by the U.S. Treasury or the full faith and credit of the United States is guaranteed only as to the timely payment of interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate. In
addition, because many types of U.S. government securities trade actively outside the United States, their prices may rise and fall as changes in global economic conditions affect the demand for these securities.

Special Risks of Exchange-Traded Funds

Not
Individually Redeemable. Shares are not individually redeemable and may be redeemed by the Fund at NAV only in large blocks known as Creation Units. You may incur brokerage costs purchasing enough Shares to constitute a Creation Unit.

Trading Issues. Trading in Shares on an exchange may be halted due to market conditions or for reasons that, in the view of that exchange, make
trading in Shares inadvisable, such as extraordinary market volatility or other reasons. There can be no assurance that Shares will continue to meet the listing requirements of the exchange on which it trades, and the listing requirements may be
amended from time to time.

Market Price Variance Risk. Individual Shares of the Fund that are listed for trading on an exchange can be
bought and sold in the secondary market at market prices. The market prices of Shares will fluctuate in response to changes in NAV and supply and demand for Shares. The Adviser cannot predict whether Shares will trade above, below or at their NAV.
Differences between secondary market prices and NAV for Shares may be due largely to supply and demand forces in the secondary market, which forces may not be the same as those influencing prices for securities or instruments held by the Fund at a
particular time. Given the fact that Shares can be created and redeemed in Creation Units, the Adviser believes that large discounts or premiums to the NAV of Shares should not be sustained. There may, however, be times when the market price and the
NAV vary significantly and you may pay more than NAV when buying Shares on the secondary market, and you may receive less than NAV when you sell those Shares. The market price of Shares, like the price of any exchange-traded security, includes a
bid-ask spread charged by the exchange specialists, market makers or other participants that trade the particular security. In times of severe market disruption, the bid-ask spread often increases significantly. This means that Shares
may trade at a discount to NAV and the discount is likely to be greatest when the price of Shares is falling fastest, which may be the time that you most want to sell your Shares. The Funds investment results are measured based upon the daily
NAV of the Fund over a period of time. Investors purchasing and selling Shares in the secondary market may not experience investment results consistent with those experienced by those creating and redeeming directly with the Fund. There

is no guarantee that an active secondary market will develop for Shares of the Fund.

Fund
Performance

No prior investment performance is provided for the Fund because it had not commenced operations prior to the date of this Prospectus.
Upon commencement of operations, updated performance will be available on the Funds website at www.direxionfunds.com/etf-perform or by calling the Fund toll free at 1-866-476-7523.

Management

Investment Adviser

Rafferty Asset Management, LLC is the Funds investment adviser.

Portfolio Manager

Paul Brigandi, the Funds
Portfolio Manager, is primarily responsible for the day-to-day management of the Fund and has served in this role since the Funds inception.

Purchase and Sale of Fund Shares

The Fund will issue and
redeem Shares only to Authorized Participants (typically, broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash) in large blocks, known as Creation Units, each of which is comprised of 50,000 Shares.
Retail investors may only purchase and sell Shares on a national securities exchange through a broker-dealer. Because the Shares trade at market prices rather than NAV, Shares may trade at a price greater than NAV (premium) or less than NAV
(discount).

Tax Information

The Fund intends to
make distributions that may be taxed as ordinary income or long-term capital gains. Those distributions will be subject to federal income tax and may also be subject to state and local taxes, unless you are investing through a tax-deferred
arrangement, such as a 401(k) plan or an individual retirement account. Distributions or investments made through tax-deferred arrangements may be taxed later upon withdrawal. Distributions by the Fund may be significantly higher than those of most
other ETFs.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase Shares through a broker-dealer or other financial intermediary (such as a bank or financial advisor), the Fund and/or the Adviser may pay the
intermediary for the sale of Shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other financial intermediary and your salesperson to recommend the Fund over another investment. Ask your
salesperson or visit your financial intermediarys website for more information.

The Direxion Shares ETF Trust (Trust) is a registered investment company offering a number of separate exchange-traded funds (ETFs).
This Prospectus describes the ETFs of the Trust noted in the table below (each a Fund and collectively the Funds). Rafferty Asset Management, LLC (Rafferty or Adviser) serves as the investment adviser
to each Fund.

Shares of the Funds (Shares)
will be listed on the NYSE Arca, Inc. (the Exchange) upon commencement of operations. When Shares are listed and traded on the Exchange, the market prices for the Shares may be different from the intra-day value of the Shares
disseminated by the Exchange and from their net asset value (NAV). Unlike conventional mutual funds, Shares are not individually redeemable securities. Rather, each Fund issues and redeems Shares on a continuous basis at NAV only in
large blocks of Shares called Creation Units. A Creation Unit consists of 50,000 Shares. Creation Units of the Funds are issued and redeemed in cash and/or in-kind for securities included in the relevant underlying index.

Shares may only be purchased from or redeemed with the Funds in Creation Units. As a result, retail investors generally will not be able to purchase or redeem
Shares directly from or with the Funds. Most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in this Prospectus, such as information about purchasing and
redeeming Shares from or with a Fund and all references to the transaction fee imposed on purchases and redemptions, is not relevant to retail investors.

As used in this Prospectus, the terms daily, day, and trading day, refer to the period from the close of the markets one
trading day to the close of the markets on the next trading day.

The Funds seek daily leveraged investment results, before fees and expenses, of
125% of the performance of a particular underlying index. For example, the daily leveraged investment objective for the Direxion Daily S&P 500® Bull 1.25X Shares is 125% of the daily total
return of the performance of the S&P 500® Index. If, on a given day, an underlying index gains 1%, a Fund is designed to gain approximately 1.25% (which is equal to 125% of 1%).
Conversely, if an underlying index loses 1% on a given day, a Fund is designed to lose approximately 1.25%. Each Fund tracks an underlying index as noted below:

To pursue these results, each Fund uses aggressive investment techniques such as engaging in futures, swaps and
options transactions. As a result, each Fund is designed to be utilized only by knowledgeable investors who understand the potential consequences of seeking daily and daily leveraged investment results, understand the risks associated
with a Funds use of leverage and are willing to monitor their portfolios frequently. The Funds are not intended to be used by, and are not appropriate for, investors who do not intend to actively monitor and manage their portfolios. There is
no assurance that the Funds will achieve their investment objectives and an investment in a Fund could lose money. No single Fund is a complete investment program.

Changes in Investment Objective. Each Funds investment objective is not a fundamental policy and may be changed by the Funds Board of
Trustees without shareholder approval.

Rafferty uses a number of investment techniques in an effort to achieve the stated investment objective for each Fund. The Funds each seek 125% of
the return of their underlying indices on a given day.

Rafferty attempts to magnify the returns of a Funds underlying index for a one-day period.
To do this, Rafferty creates net long positions for each Fund. Rafferty may create short positions for the Fund even though the net exposure in the Fund will be long. Long positions move in the same direction as underlying index,
advancing when the underlying index advances and declining when the underlying index. Short positions move in the opposite direction of the underlying index, advancing when the underlying index declines and declining when the underlying index
advances. Additionally, none of the Funds seek income that is exempt from federal, state or local income taxes.

In seeking to achieve each Funds
investment objective, Rafferty uses statistical and quantitative analysis to determine the investments each Fund makes and the techniques it employs. Rafferty relies upon a pre-determined model to generate orders that result in repositioning each
Funds investments in accordance with its daily leveraged investment objective. Using this approach, Rafferty determines the type, quantity and mix of investment positions that it believes in combination should produce daily returns consistent
with a Funds investment objective. In general, if a Fund is performing as designed, the return of the underlying index will dictate the return for that Fund. Each Fund pursues its investment objective regardless of the market conditions and
does not take defensive positions.

Each Fund has a clearly articulated daily leveraged investment objective which requires the Fund to seek economic
exposure in excess of its net assets (i.e.,net assets plus borrowing for investment purposes). To meet its objectives, each Fund invests in some combination of financial instruments so that it generates economic exposure consistent
with the Funds investment objective.

Each Fund offered in this Prospectus significantly invests in: futures contracts; options on
securities, indices and futures contracts; equity caps, floors and collars; swap agreements; forward contracts; short positions; reverse repurchase agreements; ETFs; and other financial instruments. In addition, Rafferty uses these types of
investments for the Funds to produce economically leveraged investment results. Leveraging allows Rafferty to generate a greater positive or negative return for the Funds than what would be generated on the invested capital without
leverage, thus changing small market movements into larger changes in the value of the investments of a Fund.

The Funds generally may hold a
representative sample of the securities in their underlying index. The sampling of

securities that is held by a Fund is intended to maintain high correlation with, and similar aggregate characteristics (e.g.,market capitalization and industry weightings) to, the
underlying index. A Fund also may invest in securities that are not included in the underlying index or may overweight or underweight certain components of the underlying index. Certain Funds assets may be concentrated in an industry or group
of industries to the extent that the Funds underlying index concentrates in a particular industry or group of industries. In addition, each Fund offered in this Prospectus is non-diversified, which means that it may invest in the securities of
a limited number of issuers.

At the close of the markets each trading day, each Fund will position its portfolio to ensure that the Funds
exposure to its underlying index is consistent with the Funds stated investment objective. The impact of market movements during the day determines whether a portfolio needs to be repositioned. If the underlying index has risen on a given day,
a Funds net assets should rise, meaning their exposure may need to be increased. Conversely, if the underlying index has fallen on a given day, a Funds net assets should fall, meaning their exposure may need to be reduced. Any of the
Funds portfolios may also need to be changed to reflect changes in the composition of their underlying index. Rafferty increases a Funds exposure when its assets rise and reduces a Funds exposure when its assets fall.

The Funds are designed to provide daily leveraged investment returns, before fees and expense, that are 125% of the returns of their underlying indices. A
Fund may have difficulty in achieving its daily investment objective due to fees, expenses, transaction costs, income items, accounting standards, significant purchase and redemption activity by Fund shareholders and/or disruptions or a temporary
lack of liquidity in the markets for the securities held by the Fund.

Additionally, if a Funds underlying index includes foreign securities or
tracks a foreign market index where the foreign market closes before or after the New York Stock Exchange (NYSE) closes (generally at 4 PM Eastern Time), the performance of the underlying index may differ from the expected daily
leveraged performance. Seeking daily leveraged investment results provides potential for greater gains and losses for the Funds relative to underlying index performance.

For instance, the Direxion Daily S&P 500® Bull 1.25X Shares seeks to provide, before fees and
expenses, 125% of the daily return of the S&P 500® Index. If the S&P 500® Index gains 2% on a given day, the Direxion Daily
S&P 500® Bull 1.25X Shares would be expected to gain about 2.5%. Conversely, if the S&P 500® Index declines 2% on a given day,
the Direxion Daily S&P 500® Bull 1.25X Shares would be expected to lose about 2.5%. However, for a period longer than one day, the pursuit of daily goals may result in daily leveraged
compounding for the Funds, which means that the return of an underlying index over a period of time greater than one day multiplied by the

Funds daily leveraged investment objective (e.g., 125%) generally will not equal a Funds performance over that same period. Consider the following examples:

Mary is considering investments in two Funds, Funds A, and B. Fund A is a traditional index ETF which seeks (before fees and expenses) to
match the performance of the XYZ index. Fund B is a leveraged ETF and seeks daily leveraged investment results (before fees and expenses) that correspond to 125% of the daily performance of the XYZ index.

On Day 1, the XYZ index increases in value from $100 to $108, a gain of 8%. On Day 2, the XYZ index declines from $108 back to $100, a loss
of 7.41%. In the aggregate, the XYZ index has not moved.

An investment in Fund A would be expected to gain 8% on Day 1 and lose 7.41% on
Day 2 to return to its original value. The following example assumes a $100 investment in Fund A when the index is also valued at $100:

Day

IndexValue

IndexPerformance

Value ofInvestment

$

100.00

$

100.00

1

$

108.00

8.00

%

$

108.00

2

$

100.00

-7.41

%

$

100.00

The same $100 investment in Fund B, however, would be expected to gain in value on Day 1 but decline in
value on Day 2.

The $100 investment in Fund B would be expected to gain 10% on Day 1 (125% of 8%) but decline 9.26% on Day 2.

Day

IndexPerformance

125% ofIndexPerformance

Value ofInvestment

$

100.00

1

8.00

%

10.0

%

$

110.00

2

-7.41

%

-9.26

%

$

99.81

Although the percentage decline in Fund B is smaller on Day 2 than the percentage gain on Day 1, the loss is
applied to a higher principal amount, so the investment in Fund B experiences a loss even when the aggregate index value for the two-day period has not declined. (These calculations do not include the charges for expense ratio and financing
charges.)

As you can see, an investment in Fund B has additional risks due to the effects of leverage and compounding.

The Funds are ETFs that seek daily leveraged investment results. The Funds are intended to be used as short-term trading vehicles. The Funds are not
intended to be used by, and are not appropriate for, investors who do not intend to

actively monitor and manage their portfolios. The Funds are very different from most mutual funds and ETFs. First, the Funds pursue daily leveraged investment goals, which means that the Funds
are riskier than alternatives that do not use leverage because the Funds magnify the performance of their underlying index. Second, the Funds seek daily leveraged investment results. An investor who purchases shares of a Fund intra-day will
generally receive more, or less, than 125% exposure to the underlying index underlying index from that point until the end of the trading day. The actual exposure is a function of the performance of the underlying index from the end of the prior
trading day. If a Funds shares are held for a period longer than a single trading day, the Funds performance is likely to deviate from the multiple of the underlying index performance for the longer period. This deviation will increase
with higher underlying index volatility and longer holding periods. As a consequence, investors should not plan to hold the Funds unmonitored for periods longer than a single trading day. Further, the return for investors that invest for periods
less than a full trading day or for a period different than a trading day will not be the product of the return of the Funds stated daily leveraged investment objective and the performance of the underlying index for the full trading day. The
Funds are not suitable for all investors.

For investments held for longer than a trading day, volatility in the performance of the underlying index from
day to day is the primary cause of any disparity between a Funds actual returns, the product of the Funds beta and the returns of the underlying index for such longer period. Volatility causes such disparity because it exacerbates the
effects of compounding on a Funds returns. In addition, the effects of volatility are magnified in the Funds due to leverage. For example, consider the following three examples that demonstrate the effect of volatility on a hypothetical Fund:

Example 1  Underlying Index Experiences Low Volatility

Mary invests $10.00 in the Fund at the close of trading on Day 1. During Day 2, the Index rises from 100 to 106, a 6% gain. Marys investment rises 7.5%
to $10.75. Mary holds her investment through the close of trading on Day 3, during which the Index rises from 106 to 110, a gain of 3.77%. Marys investment rises to $11.26, a gain during Day 3 of 4.74%. For the two day period since Mary
invested in the Fund, the benchmark gained 10% although Marys investment increased by 11.26%. Because the benchmark index continued to trend upwards with low volatility, Marys return closely correlates to the 125% return of the return of
the index for the period.

Example 2  Underlying Index Experiences High Volatility

Mary invests $10.00 in the Fund after the close of trading on Day 1. During Day 2, the Funds benchmark rises from 100 to 106, a 6% gain, and Marys
investment rises 7.5% to $10.75. Mary continues to hold her investment through the end of Day 3, during which the Funds benchmark

declines from 106 to 96, a loss of 9.44%. Marys investment declines by 11.8%, from $10.75 to $9.48. For the two day period since Mary invested in the Fund, the Funds benchmark index
lost 4% while Marys investment decreased from $10 to $9.48, a 5.2% loss. The volatility of the benchmark affected the correlation between the benchmark indexs return for the two day period and Marys return. In this situation, Mary
lost more than 125% the return of the benchmark index.

Example 3  Intra-day Investment with Volatility

The examples above assumed that Mary purchased the Fund at the close of trading on Day 1 and sold her investment at the close of trading on a subsequent day.
However, if she made an investment intra-day, she would have received a beta determined by the performance of the underlying index from the end of the prior trading day until her time of purchase on the next trading day. Consider the following
example.

Mary invests $10.00 in the Fund at 11 a.m. on Day 2. From the close of trading on Day 1 until 11 a.m. on Day 2, the index moved from 100 to 106,
a 6% gain. In light of that gain, the Fund beta at the point at which Mary invests is 123%. During the remainder of Day 2, the Funds benchmark rises from 106 to 110, a gain of 3.77%, and Marys investment rises 4.64% (which is the
benchmark gain of 3.77% multiplied by the 123% beta that she received) to $10.46. Mary continues to hold her investment through the close of trading on Day 2, during which the Funds benchmark declines from 110 to 90, a loss of 18.18%.
Marys investment declines by 22.73%, from $10.46 to $8.08. For the period of Marys investment, the Funds benchmark declined from 106 to 90, a loss of 15.1%, while Marys investment decreased from $10.00 to $8.08, a 19.20%
loss. The volatility of the benchmark affected the correlation between the benchmark indexs return for period and Marys return. In this situation, Mary lost more than 125% the return of the benchmark index. Mary was also hurt because she
missed the first 6% move of the benchmark and had a beta of 123% for the remainder of Day 2.

The Funds are designed to be utilized only by sophisticated
investors, such as traders and active investors employing dynamic strategies. Such investors are expected to monitor and manage their portfolios frequently. Investors in the Funds should: (a) understand the risks associated with the use of
leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. Investors who do not understand the Funds
or do not intend to actively manage their funds and monitor their investments should not buy the Funds. There is no assurance that any of the Funds offered in this Prospectus will achieve their investment objectives and an investment in any Fund
could lose money. No single Fund is a complete investment program.

Market Volatility. Each Fund seeks to provide a return which is 125% of the
daily performance of its underlying

index. No Fund attempts to, and no Fund should be expected to, provide returns which are a 125% of the return of the underlying index for periods other than a single day. Each Fund rebalances its
portfolio on a daily basis, increasing exposure in response to that days gains or reducing exposure in response to that days losses.

Daily
rebalancing will impair a Funds performance if the underlying index experiences volatility. For instance, a hypothetical Fund would be expected to lose 0.8% (as shown in Table 1 below) if its underlying index provided no return over a one year
period during which its underlying index experienced annualized volatility of 25%. If the underlying indexs annualized volatility were to rise to 75%, the hypothetical loss for a one year period for a Fund widens to approximately 24.6.

At higher ranges of volatility, there is a chance of a near complete loss of Fund value even if the underlying index is flat. For instance, if annualized
volatility of the underlying index is 100%, a Fund would be expected to lose more than 32.3% of its value even if the cumulative underlying index return for the year was 0%. An indexs volatility rate is a statistical measure of the magnitude
of fluctuations in the returns of an index.

Table 1

Volatility

Range

FundLoss

10

%

0.8

%

25

%

4.4

%

50

%

13.8

%

75

%

24.6

%

100

%

32.3

%

Table 2 shows the volatility rate for each of the Funds underlying indexes over the five years ended December 31,
2013. If an index has been in existence for less than 5 years, its inception date is noted next to its name in Table 2. The underlying indexes have annualized historical volatility rates over that period ranging from [ ]% to
[ ]%. Since market volatility has negative implications for Funds which rebalance daily, investors should be sure to monitor and manage their investments in the Funds particularly in volatile markets. The negative implications
of volatility in Table 1 can be combined with the recent volatility ranges of various indexes in Table 2 to give investors some sense of the risks of holding the Funds for long periods. These tables are intended to simply underscore the fact that
the Funds are designed as short-term trading vehicles for investors who intend to actively monitor and manage their portfolios. The Funds are not intended to be used by, and are not appropriate for, investors who do not intend to actively monitor
and manage their portfolios.

A Precautionary Note to Investors Regarding Dramatic Index Movement. The intra-day value of each Funds shares,
otherwise known as the intraday indicative value or IIV, which is disseminated by the Exchange every 15 seconds throughout the business day, is based on the current market value of the securities and cash required to be
deposited in exchange for a Creation Unit on the prior business day. The IIV does not necessarily reflect the precise composition of the current portfolio of securities held by a Fund at a particular point in time, nor the best possible valuation of
the current portfolio. Therefore, the IIV should not be viewed as a real-time update of the Funds NAV, which is computed only once a day.

The Projected Return of a Fund for a Single Trading Day. Each Fund seeks to provide a daily return that is 125% of the daily return of an underlying
index. Doing so requires the use of leveraged investment techniques, which necessarily incur financing charges. For instance, the Direxion Daily S&P 500® Bull 1.25X Shares seeks exposure
to its underlying index in an amount equal to 125% of its assets, meaning it uses leveraged investment techniques to seek exposure to the S&P 500® Index in an amount equal to 125% of its
net assets. In light of the financing charges and the Funds operating expenses, the expected return of the Funds over one trading day is equal to the gross expected return, which is the daily underlying index return multiplied by 125%,
minus (i) financing charges incurred by the portfolio and (ii) daily operating expenses. For instance, if the S&P 500® Index returns 2% on a given day, the gross expected
return of the Direxion Daily S&P 500® Bull 1.25X Shares would be 2.5%, but the net expected return, which factors in the cost of financing the portfolio and the impact of operating
expenses, would be lower. Each Fund will reposition its portfolio at the end of every trading day. Therefore, if an investor purchases Fund shares at close of the markets on a given trading day, the investors exposure to the underlying index
of a Fund would reflect 125% of the performance of the underlying index during the following trading day, subject to the charges and expenses noted above, regardless of whether the investor sells the shares during that day.

The Projected Returns of Funds for Intra-Day Purchases. Because the Funds rebalance their portfolios

once daily, an investor who purchases shares during a day will likely have more, or less, than 125% leveraged investment exposure to the underlying index. The exposure to the underlying index
received by an investor who purchases a Fund intra-day will differ from 125% by an amount determined by the movement of the underlying index from its value at the end of the prior day. If the underlying index moves in a direction favorable to the
Fund between the close of the market on one trading day through the time on the next trading day when the investor purchases Fund shares, the investor will receive less exposure to the underlying index than125%. Conversely, if the underlying index
moves in a direction adverse to the Fund, the investor will receive more exposure to the underlying index than 125%.

Table 3 below indicates the exposure
to the underlying index that an intra-day purchase of a Fund would be expected to provide based upon the movement in the value of a Funds underlying index from the close of the market on the prior trading day. Such exposure holds until a
subsequent sale on that same trading day or until the close of the market on that trading day. For instance, if the underlying index of a Fund has moved 6% in a direction favorable to a Fund, the investor would receive exposure to the performance of
the underlying index from that point until the investor sells later that day or the end of the day equal to approximately 123% of the investors investment.

Conversely, if the underlying index has moved 6% in a direction unfavorable to a Fund, an investor at that point would receive exposure to the performance of
the underlying index from that point until the investor sells later that day or the end of the day equal to approximately 127% of the investors investment.

The table includes ranges of underlying index moves from 5% to -5% for a Fund. Underlying index moves beyond the range noted below will result in exposure
further from a Funds daily leveraged investment objective.

The Projected Returns of Funds for Periods Other Than a Single Trading Day. The Funds seek leveraged
investment results on a daily basisfrom the close of regular trading on one trading day to the close on the next trading daywhich should not be equated with seeking a leveraged investment objective for any other period. For instance, if
the S&P 500® Index gains 10% for a week, the Direxion Daily S&P 500® Bull 1.25X Shares should not be expected to provide a
return of 12.5% for the week even if it meets its daily leveraged investment objective throughout the week. This is true because of the financing charges noted above but also because the pursuit of daily goals may result in daily leveraged
compounding, which means that the return of an underlying index over a period of time greater than one day multiplied by a Funds daily leveraged investment objective of 125% will not generally equal a Funds performance over that same
period. In addition, the effects of compounding become greater the longer Shares are held beyond a single trading day.

The following charts set out a
range of hypothetical daily performances during a given 10 trading days of an underlying index and demonstrate how changes in the underlying index impact the Funds performance for trading day and cumulatively up to, and including, the entire
10 trading day period. The charts are based on a hypothetical $100 investment in the Funds over a 10 trading day period and do not reflect expenses of any kind.

Table 5  The Index Lacks a Clear Trend

Index

Fund

Value

DailyPerformance

CumulativePerformance

NAV

DailyPerformance

CumulativePerformance

100

$

100.00

Day 1

105

5.00

%

5.00

%

$

106.25

6.25

%

6.25

%

Day 2

110

4.76

%

10.00

%

$

112.57

5.95

%

12.57

%

Day 3

100

-9.09

%

0.00

%

$

99.78

-11.36

%

-0.22

%

Day 4

90

-10.00

%

-10.00

%

$

87.31

-12.50

%

-12.69

%

Day 5

85

-5.56

%

-15.00

%

$

81.24

-6.95

%

-18.76

%

Day 6

100

17.65

%

0.00

%

$

99.16

22.06

%

-0.84

%

Day 7

95

-5.00

%

-5.00

%

$

92.97

-6.25

%

-7.03

%

Day 8

100

5.26

%

0.00

%

$

99.08

6.58

%

-0.92

%

Day 9

105

5.00

%

5.00

%

$

105.27

6.25

%

5.27

%

Day 10

100

-4.76

%

0.00

%

$

99.01

-5.95

%

-0.99

%

The cumulative performance of the underlying index in Table 5 is 0% for 10 trading days. The hypothetical return of the Bull
Fund for the 10 trading day period is -0.99%%. The volatility of the underlying index performance and lack of clear trend results in performance for each Fund for the period which bears little relationship to the performance of the underlying index
for the 10 trading day period.

The cumulative performance of the underlying index in Table 6 is 20% for 10 trading days. The hypothetical return of the Bull
Fund for the 10 trading day period is 25.52%.

Table 7  The Index Declines in a Clear Trend

Index

Fund

Value

DailyPerformance

CumulativePerformance

NAV

DailyPerformance

CumulativePerformance

100

$

100.00

Day 1

98

-2.00

%

-2.00

%

$

97.50

-2.50

%

-2.50

%

Day 2

96

-2.04

%

-4.00

%

$

95.01

-2.55

%

-4.99

%

Day 3

94

-2.08

%

-6.00

%

$

92.54

-2.60

%

-7.46

%

Day 4

92

-2.13

%

-8.00

%

$

90.08

-2.66

%

-9.92

%

Day 5

90

-2.17

%

-10.00

%

$

87.64

-2.71

%

-12.36

%

Day 6

88

-2.22

%

-12.00

%

$

85.20

-2.78

%

-14.80

%

Day 7

86

-2.27

%

-14.00

%

$

82.79

-2.84

%

-17.21

%

Day 8

84

-2.33

%

-16.00

%

$

80.38

-2.91

%

-19.62

%

Day 9

82

-2.38

%

-18.00

%

$

77.98

-2.98

%

-22.02

%

Day 10

80

-2.44

%

-20.00

%

$

75.61

-3.05

%

-24.39

%

The cumulative performance of the underlying index in Table 7 is -20% for 10 trading days. The hypothetical return of a Fund
for the 10 trading day period is -24.39%. In this case, because of the negative underlying index trend, a Fund decline is less than 125% of the underlying index decline for the 10 trading day period.

An investment in any of the Funds entails risks. The Funds could lose money, or their performance could trail that of other investment alternatives. Rafferty
cannot guarantee that any of the Funds will achieve their investment objectives. It is important that investors closely review and understand these risks before making an investment in any of the Funds. Turbulence in financial markets and reduced
liquidity in equity, credit and fixed income markets could negatively affect issuers worldwide, including the Funds. The table below provides the risks of investing in the Funds. Following the table, each risk is explained.